Learning Convex Optimization Control Policies

Akshay Agrawal, Shane Barratt, Stephen Boyd, Bartolomeo Stellato

Research output: Contribution to journalConference articlepeer-review

Abstract

Many control policies used in applications compute the input or action by solving a convex optimization problem that depends on the current state and some parameters. Common examples of such convex optimization control policies (COCPs) include the linear quadratic regulator (LQR), convex model predictive control (MPC), and convex approximate dynamic programming (ADP) policies. These types of control policies are tuned by varying the parameters in the optimization problem, such as the LQR weights, to obtain good performance, judged by application-specific metrics. Tuning is often done by hand, or by simple methods such as a grid search. In this paper we propose a method to automate this process, by adjusting the parameters using an approximate gradient of the performance metric with respect to the parameters. Our method relies on recently developed methods that can efficiently evaluate the derivative of the solution of a convex program with respect to its parameters. A longer version of this paper, which illustrates our method on many examples, is available at https://web.stanford.edu/-boyd/papers/learning_cocps.html.

Original languageAmerican English
Pages (from-to)361-373
Number of pages13
JournalProceedings of Machine Learning Research
Volume120
StatePublished - 2020
Event2nd Annual Conference on Learning for Dynamics and Control, L4DC 2020 - Berkeley, United States
Duration: Jun 10 2020Jun 11 2020

ASJC Scopus subject areas

  • Artificial Intelligence
  • Software
  • Control and Systems Engineering
  • Statistics and Probability

Keywords

  • Stochastic control
  • approximate dynamic programming
  • convex optimization

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