Wasserstein Distributionally Robust Control of Partially Observable Linear Stochastic Systems (2212.04644v2)

Abstract: Distributionally robust control (DRC) aims to effectively manage distributional ambiguity in stochastic systems. While most existing works address inaccurate distributional information in fully observable settings, we consider a partially observable DRC problem for discrete-time linear systems using the Wasserstein metric. For a tractable solution, we propose a novel approximation method exploiting the Gelbrich bound of Wasserstein distance. Using techniques from modern distributionally robust optimization, we derive a closed-form expression for the optimal control policy and a tractable semidefinite programming problem for the worst-case distribution policy in both finite-horizon and infinite-horizon average-cost settings. The proposed method features several salient theoretical properties, such as a guaranteed cost property and a probabilistic out-of-sample performance guarantee, demonstrating the distributional robustness of our controller. Furthermore, the resulting controller is shown to ensure the closed-loop stability of the mean-state system. The empirical performance of our method is tested through numerical experiments on a power system frequency control problem.