Learning Robust Predictive Control: A Spatial-Temporal Game Theoretic Approach.

This article investigates robust predictive control problem for unknown dynamical systems. Since the dynamics unavailability restricts feasibility of model-driven methods, learning robust predictive control (LRPC) framework is developed from the aspect of time consistency. Under feedback-like control causality, the robust predictive control is then reconstructed as spatial-temporal games, and we guarantee stability through time-consistent Nash equilibrium. For gradation clarity, our framework is specified as four-follow contents. First, multistep feedback-like control causality is drawn from time series analysis, and Takens' theorem provides theoretical support from steady-state property. Second, control problem is reconstructed as games, while performance and robustness partition the game into temporal nonzero-sum subgames and spatial zero-sum ones, respectively. Next, multistep reinforcement learning (RL) is designed to solve robust predictive control without system model. Convergence is proven through bounds analysis of oscillatory value functions, and properties of receding horizon are derived from time consistency. Finally, data-driven implementation is given with function approximation, and neural networks are chosen to approximate value functions and feedback-like causality. Weights are estimated with least squares errors. Numerical results verify the effectiveness.