Model-Free $δ$-Policy Iteration Based on Damped Newton Method for Nonlinear Continuous-Time H$\infty$ Tracking Control

Abstract: This paper presents a {\delta}-PI algorithm which is based on damped Newton method for the H{\infty} tracking control problem of unknown continuous-time nonlinear system. A discounted performance function and an augmented system are used to get the tracking Hamilton-Jacobi-Isaac (HJI) equation. Tracking HJI equation is a nonlinear partial differential equation, traditional reinforcement learning methods for solving the tracking HJI equation are mostly based on the Newton method, which usually only satisfies local convergence and needs a good initial guess. Based upon the damped Newton iteration operator equation, a generalized tracking Bellman equation is derived firstly. The {\delta}-PI algorithm can seek the optimal solution of the tracking HJI equation by iteratively solving the generalized tracking Bellman equation. On-policy learning and off-policy learning {\delta}-PI reinforcement learning methods are provided, respectively. Off-policy version {\delta}-PI algorithm is a model-free algorithm which can be performed without making use of a priori knowledge of the system dynamics. NN-based implementation scheme for the off-policy {\delta}-PI algorithms is shown. The suitability of the model-free {\delta}-PI algorithm is illustrated with a nonlinear system simulation.