Dual MPC with Reinforcement Learning

An adaptive optimal control algorithm for systems with uncertain dynamics is formulated under a Reinforcement Learning framework. An embedded exploratory component is included explicitly in the objective function of an output feedback receding horizon Model Predictive Control problem. The optimization is formulated as a Quadratically Constrained Quadratic Program and it is solved to e-global optimality. The iterative interaction between the action specified by the optimal solution and the approximation of cost functions balances the exploitation of current knowledge and the need for exploration. The proposed method is shown to converge to the optimal policy for a controllable discrete time linear plant with unknown output parameters.