Solving the Model Unavailable MARE using Q-Learning Algorithm

Abstract: In this paper, the discrete-time modified algebraic Riccati equation (MARE) is solved when the system model is completely unavailable. To achieve this, firstly a brand new iterative method based on the standard discrete-time algebraic Riccati equation (DARE) and its input weighting matrix is proposed to solve the MARE. For the single-input case, the iteration can be initialized by an arbitrary positive input weighting if and only if the MARE has a stabilizing solution; nevertheless a pre-given input weighting matrix of a sufficiently large magnitude is used to perform the iteration for the multi-input case when the characteristic parameter belongs to a specified subset. Benefit from the developed specific iteration structure, the Q-learning (QL) algorithm can be employed to subtly solve the MARE where only the system input/output data is used thus the system model is not required. Finally, a numerical simulation example is given to verify the effectiveness of the theoretical results and the algorithm.