No-Regret Model Predictive Control with Online Learning of Koopman Operators

Abstract: We study a problem of simultaneous system identification and model predictive control of nonlinear systems. Particularly, we provide an algorithm for systems with unknown residual dynamics that can be expressed by Koopman operators. Such residual dynamics can model external disturbances and modeling errors, such as wind and wave disturbances to aerial and marine vehicles, or inaccurate model parameters. The algorithm has finite-time near-optimality guarantees and asymptotically converges to the optimal non-causal controller. Specifically, the algorithm enjoys sublinear \textit{dynamic regret}, defined herein as the suboptimality against an optimal clairvoyant controller that knows how the unknown dynamics will adapt to its states and actions. To this end, we assume the algorithm is given Koopman observable functions such that the unknown dynamics can be approximated by a linear dynamical system. Then, it employs model predictive control based on the current learned model of the unknown residual dynamics. This model is updated online using least squares in a self-supervised manner based on the data collected while controlling the system. We validate our algorithm in physics-based simulations of a cart-pole system aiming to maintain the pole upright despite inaccurate model parameters.