A Distributionally Robust Approach to Regret Optimal Control using the Wasserstein Distance

Abstract: This paper proposes a distributionally robust approach to regret optimal control of discrete-time linear dynamical systems with quadratic costs subject to a stochastic additive disturbance on the state process. The underlying probability distribution of the disturbance process is unknown, but assumed to lie in a given ball of distributions defined in terms of the type-2 Wasserstein distance. In this framework, strictly causal linear disturbance feedback controllers are designed to minimize the worst-case expected regret. The regret incurred by a controller is defined as the difference between the cost it incurs in response to a realization of the disturbance process and the cost incurred by the optimal noncausal controller which has perfect knowledge of the disturbance process realization at the outset. Building on a well-established duality theory for optimal transport problems, we derive a reformulation of the minimax regret optimal control problem as a tractable semidefinite program. Using the equivalent dual reformulation, we characterize a worst-case distribution achieving the worst-case expected regret in relation to the distribution at the center of the Wasserstein ball. We compare the minimax regret optimal control design method with the distributionally robust optimal control approach using an illustrative example and numerical experiments.