Data-Driven Stochastic Optimal Control With Safety Constraints Using Linear Transfer Operators | IEEE Journals & Magazine | IEEE Xplore

Data-Driven Stochastic Optimal Control With Safety Constraints Using Linear Transfer Operators


Abstract:

In this article, we provide a data-driven framework for optimal control of a continuous-time control-affine stochastic dynamical system. The proposed framework relies on ...Show More

Abstract:

In this article, we provide a data-driven framework for optimal control of a continuous-time control-affine stochastic dynamical system. The proposed framework relies on the linear operator theory involving Perron–Frobenius (P-F) and Koopman operators. Our first result involving the P-F operator provides a convex formulation to the optimal control problem in the dual space of densities. This convex formulation of the stochastic optimal control problem leads to an infinite-dimensional convex program. The finite-dimensional approximation of the convex program is obtained using a data-driven approximation of the linear operators. Our second results demonstrate using the Koopman operator, dual to the P-F operator, for the stochastic optimal control design. We show that the Hamilton–Jacobi–Bellman (HJB) equation can be expressed using the Koopman operator. We provide an iterative procedure along the lines of a popular policy iteration algorithm based on the data-driven approximation of the Koopman operator for solving the HJB equation. Finally, we present examples to demonstrate the efficacy of the developed framework and verify the convergence rates for the operator and optimal control numerically.
Published in: IEEE Transactions on Automatic Control ( Volume: 69, Issue: 4, April 2024)
Page(s): 2100 - 2115
Date of Publication: 22 June 2023

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