Online Robust Control of Linear Dynamical Systems with Limited Prediction

Abstract: We study the online robust control problem for linear dynamical systems with disturbances and uncertainties in the cost functions, with limited preview of the future disturbances and the cost functions, $N$. Our goal is to find an online control policy that can minimize the disturbance gain, defined as the ratio of the cumulative cost and the cumulative energy in the disturbances over a period of time, in the face of the uncertainties, and characterize its achievable gain in terms of the system relevant parameters. Our goals contrast with prior online control works for the same problem, which either focus on minimizing the static regret, a weaker performance metric, or assume a very large preview of the future uncertainties. Specifically, we consider a class of cost functions characterized by $\beta$ ($\beta < 1$), a number whose inverse bounds the variation of the cost functions. We propose a novel variation of the Receding Horizon Control as the online control policy. We show that, under standard system assumptions, when $N > 4/\beta^3$, the proposed algorithm can achieve a disturbance gain $(2/\beta+\rho(N)) \overline{\gamma}^2$, where $\overline{\gamma}^2$ is the best (minimum) possible disturbance gain for an oracle policy with full knowledge of the cost functions and disturbances, with $\rho(N) = O(1/N)$. We also demonstrate through simulations that the proposed policy satisfies the derived bounds and is consistently better than the standard RHC approach.