Robust Reinforcement Learning: A Case Study in Linear Quadratic Regulation
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This paper studies the robustness aspect of reinforcement learning algorithms in the presence of errors. Specifically, we revisit the benchmark problem of discrete-time linear quadratic regulation (LQR) and study the long-standing open question: Under what conditions is the policy iteration method robustly stable for dynamical systems with unbounded, continuous state and action spaces? Using advanced stability results in control theory, it is shown that policy iteration for LQR is inherently robust to small errors and enjoys local input-to-state stability: whenever the error in each iteration is bounded and small, the solutions of the policy iteration algorithm are also bounded, and, moreover, enter and stay in a small neighborhood of the optimal LQR solution. As an application, a novel off-policy optimistic least-squares policy iteration for the LQR problem is proposed, when the system dynamics are subjected to additive stochastic disturbances. The proposed new results in robust reinforcement learning are validated by a numerical example.
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