Using Reinforcement Learning for Model-free Linear Quadratic Control with Process and Measurement Noises
Farnaz Adib Yaghmaie, Fredrik Gustafsson · 2019
In this paper, we analyze a Linear Quadratic (LQ) control problem in terms of the average cost and the structure of the value function. We develop a completely model-free reinforcement learning algorithm to solve the LQ problem. Our algorithm is an off-policy routine where each policy is greedy with respect to all previous value functions. We prove that the algorithm produces stable policies given that the estimation errors remain small. Empirically, our algorithm outperforms the classical Q and off-policy learning routines.