Abstract:In this paper, we present a Model-Free Stochastic Inverse Optimal Control (IOC) algorithm for the discrete-time infinite-horizon stochastic linear quadratic regulator (LQR). Our proposed algorithm exploits the richness of the available system trajectories to recover the control gain K and cost function parameters (Q, R) in a low (space, sample, and computational) complexity manner. By leveraging insights on the stochastic LQR, we guarantee well-posedness of the Model-Free Stochastic IOC LQR via satisfaction of… Show more
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