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We propose a new risk-constrained reformulation of the standard Linear Quadratic Regulator (LQR) problem. Our framework is motivated by the fact that the classical (risk-neutral) LQR controller, although optimal in expectation, might be ineffective under relatively infrequent, yet statistically significant (risky) events. To effectively trade between average and extreme event performance, we introduce a new risk constraint, which explicitly restricts the total expected predictive variance of the state penalty by a user-prescribed level. We show that, under rather minimal conditions on the process noise (i.e., finite fourth-order moments), the optimal risk-aware controller can be evaluated explicitly and in closed form. In fact, it is affine relative to the state, and is always internally stable regardless of parameter tuning. Our new risk-aware controller: i) pushes the state away from directions where the noise exhibits heavy tails, by exploiting the third-order moment (skewness) of the noise; ii) inflates the state penalty in riskier directions, where both the noise covariance and the state penalty are simultaneously large. The properties of the proposed risk-aware LQR framework are also illustrated via indicative numerical examples.
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The behaviour of a stochastic dynamical system may be largely influenced by those low-probability, yet extreme events. To address such occurrences, this paper proposes an infinite-horizon risk-constrained Linear Quadratic Regulator (LQR) framework with time-average cost. In addition to the standard LQR objective, the average one-stage predictive variance of the state penalty is constrained to lie within a user-specified level. By leveraging the duality, its optimal solution is first shown to be stationary and affine in the state, i.e., $u(x,lambda^*) = -K(lambda^*)x + l(lambda^*)$, where $lambda^*$ is an optimal multiplier, used to address the risk constraint. Then, we establish the stability of the resulting closed-loop system. Furthermore, we propose a primal-dual method with sublinear convergence rate to find an optimal policy $u(x,lambda^*)$. Finally, a numerical example is provided to demonstrate the effectiveness of the proposed framework and the primal-dual method.
We study the problem of learning-augmented predictive linear quadratic control. Our goal is to design a controller that balances consistency, which measures the competitive ratio when predictions are accurate, and robustness, which bounds the competitive ratio when predictions are inaccurate. We propose a novel $lambda$-confident controller and prove that it maintains a competitive ratio upper bound of $1+min{O(lambda^2varepsilon)+ O(1-lambda)^2,O(1)+O(lambda^2)}$ where $lambdain [0,1]$ is a trust parameter set based on the confidence in the predictions, and $varepsilon$ is the prediction error. Further, we design a self-tuning policy that adaptively learns the trust parameter $lambda$ with a regret that depends on $varepsilon$ and the variation of perturbations and predictions.
Risk-aware control, though with promise to tackle unexpected events, requires a known exact dynamical model. In this work, we propose a model-free framework to learn a risk-aware controller with a focus on the linear system. We formulate it as a discrete-time infinite-horizon LQR problem with a state predictive variance constraint. To solve it, we parameterize the policy with a feedback gain pair and leverage primal-dual methods to optimize it by solely using data. We first study the optimization landscape of the Lagrangian function and establish the strong duality in spite of its non-convex nature. Alongside, we find that the Lagrangian function enjoys an important local gradient dominance property, which is then exploited to develop a convergent random search algorithm to learn the dual function. Furthermore, we propose a primal-dual algorithm with global convergence to learn the optimal policy-multiplier pair. Finally, we validate our results via simulations.
This paper considers a constrained discrete-time linear system subject to actuation attacks. The attacks are modelled as false data injections to the system, such that the total input (control input plus injection) satisfies hard input constraints. We establish a sufficient condition under which it is not possible to maintain the states of the system within a compact state constraint set for all possible realizations of the actuation attack. The developed condition is a simple function of the spectral radius of the system, the relative sizes of the input and state constraint sets, and the proportion of the input constraint set allowed to the attacker.
The standard approach to risk-averse control is to use the Exponential Utility (EU) functional, which has been studied for several decades. Like other risk-averse utility functionals, EU encodes risk aversion through an increasing convex mapping $varphi$ of objective costs to subjective costs. An objective cost is a realization $y$ of a random variable $Y$. In contrast, a subjective cost is a realization $varphi(y)$ of a random variable $varphi(Y)$ that has been transformed to measure preferences about the outcomes. For EU, the transformation is $varphi(y) = exp(frac{-theta}{2}y)$, and under certain conditions, the quantity $varphi^{-1}(E(varphi(Y)))$ can be approximated by a linear combination of the mean and variance of $Y$. More recently, there has been growing interest in risk-averse control using the Conditional Value-at-Risk (CVaR) functional. In contrast to the EU functional, the CVaR of a random variable $Y$ concerns a fraction of its possible realizations. If $Y$ is a continuous random variable with finite $E(|Y|)$, then the CVaR of $Y$ at level $alpha$ is the expectation of $Y$ in the $alpha cdot 100 %$ worst cases. Here, we study the applications of risk-averse functionals to controller synthesis and safety analysis through the development of numerical examples, with emphasis on EU and CVaR. Our contribution is to examine the decision-theoretic, mathematical, and computational trade-offs that arise when using EU and CVaR for optimal control and safety analysis. We are hopeful that this work will advance the interpretability and elucidate the potential benefits of risk-averse control technology.
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