Minimax Adaptive Control for a Finite Set of Linear Systems

arXiv2011.10814MaRDI QIDQ6504290FDOQ6504290

Abstract: An adaptive controller with bounded l2-gain from disturbances to errors is derived for linear time-invariant systems with uncertain parameters restricted to a finite set. The gain bound refers to the closed loop system, including the non-linear learning procedure. As a result, robustness to unmodelled dynamics (possibly nonlinear and infinite-dimensional) follows from the small gain theorem. The approach is based on a new zero-sum dynamic game formulation, which optimizes the trade-off between exploration and exploitation. An explicit upper bound on the optimal value function is stated in terms of semi-definite programming and a corresponding simple formula for an adaptive controller achieving the upper bound is given. Once the uncertain parameters have been sufficiently estimated, the controller behaves like standard H-infinity optimal control.

Has companion code repository: https://github.com/kjellqvist/MinimaxAdaptiveControl.jl

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