Sparsity-Constrained Linear Quadratic Regulation Problem: Greedy Approach with Performance Guarantee

Abstract: We study a linear quadratic regulation problem with a constraint where the control input can be nonzero only at a limited number of times. Given that this constraint leads to a combinational optimization problem, we adopt a greedy method to find a suboptimal solution. To quantify the performance of the greedy algorithm, we employ two metrics that reflect the submodularity level of the objective function: The submodularity ratio and curvature. We first present an explicit form of the optimal control input that is amenable to evaluating these metrics. Subsequently, we establish bounds on the submodularity ratio and curvature, which enable us to offer a practical performance guarantee for the greedy algorithm. The effectiveness of our guarantee is further demonstrated through numerical simulations.