On the Optimization Landscape of Dynamic Output Feedback: A Case Study for Linear Quadratic Regulator

TL;DR

This paper analyzes the complex optimization landscape of dynamic output-feedback policies in linear quadratic regulation, revealing conditions for unique stationary points and guiding efficient algorithm design in partially observed control systems.

Contribution

It provides a detailed analysis of the optimization landscape for dynamic output-feedback policies in LQR, including the uniqueness of stationary points and optimal transformations.

Findings

Unique stationary point for observable dLQR controllers

Optimal similarity transformation derived for controllers

Insights into designing algorithms for partially observed systems

Abstract

The convergence of policy gradient algorithms in reinforcement learning hinges on the optimization landscape of the underlying optimal control problem. Theoretical insights into these algorithms can often be acquired from analyzing those of linear quadratic control. However, most of the existing literature only considers the optimization landscape for static full-state or output feedback policies (controllers). We investigate the more challenging case of dynamic output-feedback policies for linear quadratic regulation (abbreviated as dLQR), which is prevalent in practice but has a rather complicated optimization landscape. We first show how the dLQR cost varies with the coordinate transformation of the dynamic controller and then derive the optimal transformation for a given observable stabilizing controller. At the core of our results is the uniqueness of the stationary point of dLQR when it is observable, which is in a concise form of an observer-based controller with the optimal similarity transformation. These results shed light on designing efficient algorithms for general decision-making problems with partially observed information.