1. LQR via First Order Flows
- Author
-
Mehran Mesbahi, Afshin Mesbahi, and Jingjing Bu
- Subjects
Lyapunov function ,Quadratic growth ,symbols.namesake ,Smoothness (probability theory) ,Flow (mathematics) ,Exponential stability ,Matrix function ,symbols ,Applied mathematics ,Balanced flow ,Exponential function ,Mathematics - Abstract
We consider the Linear-Quadratic-Regulator (LQR) problem in terms of optimizing a real-valued matrix function over the set of feedback gains. Such a setup facilitates examining the implications of a natural initial-state independent formulation of LQR in designing first order algorithms. We characterize several analytical properties (smoothness, coerciveness, quadratic growth) that are crucial in the analysis of gradient-based algorithms. We then examine three types of well-posed flows for LQR: gradient flow, natural gradient flow and the quasi-Newton flow. The coercive property suggests that these flows admit unique solutions while gradient dominated property indicates that the corresponding Lyapunov functionals decay at an exponential rate; quadratic growth on the other hand guarantees that the trajectories of these flows are exponentially stable in the sense of Lyapunov.
- Published
- 2020