Approximate dynamic programming for constrained linear systems: A piecewise quadratic approximation approach

Kanghui He*, Shengling Shi, Ton van den Boom, Bart De Schutter

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

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Abstract

Approximate dynamic programming (ADP) faces challenges in dealing with constraints in control problems. Model predictive control (MPC) is, in comparison, well-known for its accommodation of constraints and stability guarantees, although its computation is sometimes prohibitive. This paper introduces an approach combining the two methodologies to overcome their individual limitations. The predictive control law for constrained linear quadratic regulation (CLQR) problems has been proven to be piecewise affine (PWA) while the value function is piecewise quadratic. We exploit these formal results from MPC to design an ADP method for CLQR problems with a known model. A novel convex and piecewise quadratic neural network with a local–global architecture is proposed to provide an accurate approximation of the value function, which is used as the cost-to-go function in the online dynamic programming problem. An efficient decomposition algorithm is developed to generate the control policy and speed up the online computation. Rigorous stability analysis of the closed-loop system is conducted for the proposed control scheme under the condition that a good approximation of the value function is achieved. Comparative simulations are carried out to demonstrate the potential of the proposed method in terms of online computation and optimality.

Original languageEnglish
Article number111456
Number of pages9
JournalAutomatica
Volume160
DOIs
Publication statusPublished - 2024

Funding

This paper is part of a project that has received funding from the European Research Council (ERC) under the European Union’s Horizon 2020 research and innovation program (Grant agreement No. 101018826 - CLariNet). The material in this paper was not presented at any conference. This paper was recommended for publication in revised form by Associate Editor Alessandro Abate under the direction of Editor Ian R. Petersen.

This paper is part of a project that has received funding from the European Research Council (ERC) under the European Union's Horizon 2020 research and innovation program (Grant agreement No. 101018826 - CLariNet). The material in this paper was not presented at any conference. This paper was recommended for publication in revised form by Associate Editor Alessandro Abate under the direction of Editor Ian R. Petersen.

Keywords

  • Approximate dynamic programming
  • Constrained linear quadratic regulation
  • Model predictive control
  • Neural networks
  • Reinforcement learning
  • Value function approximation

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