Output regulation of unknown linear systems using average cost reinforcement learning

Abstract

In this paper, we introduce an optimal average cost learning framework to solve output regulation problem for linear systems with unknown dynamics. Our optimal framework aims to design the controller to achieve output tracking and disturbance rejection while minimizing the average cost. We derive the Hamilton–Jacobi–Bellman (HJB) equation for the optimal average cost problem and develop a reinforcement algorithm to solve it. Our proposed algorithm is an off-policy routine which learns the optimal average cost solution completely model-free. We rigorously analyze the convergence of the proposed algorithm. Compared to previous approaches for optimal tracking controller design, we elevate the need for judicious selection of the discounting factor and the proposed algorithm can be implemented completely model-free. We support our theoretical results with a simulation example.