A Moreau Envelope Approach for LQR Meta-Policy Estimation

arXiv:2403.17364v1 Announce Type: cross
Abstract: We study the problem of policy estimation for the Linear Quadratic Regulator (LQR) in discrete-time linear time-invariant uncertain dynamical systems. We propose a Moreau Envelope-based surrogate LQR cost, built from a finite set of realizations of the uncertain system, to define a meta-policy efficiently adjustable to new realizations. Moreover, we design an algorithm to find an approximate first-order stationary point of the meta-LQR cost function. Numerical results show that the proposed approach outperforms naive averaging …

abstract arxiv cost cs.lg cs.sy eess.sy linear math.oc meta policy regulator set study systems type uncertain