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Interpreting the dual Riccati equation through the LQ reproducing kernel
Pierre-Cyril Aubin-Frankowski1
1 École des Ponts ParisTech and CAS, MINES ParisTech, PSL Research University, France
Comptes Rendus. Mathématique, Volume 359 (2021) no. 2, pp. 199-204.

In this study, we provide an interpretation of the dual differential Riccati equation of Linear-Quadratic (LQ) optimal control problems. Adopting a novel viewpoint, we show that LQ optimal control can be seen as a regression problem over the space of controlled trajectories, and that the latter has a very natural structure as a reproducing kernel Hilbert space (RKHS). The dual Riccati equation then describes the evolution of the values of the LQ reproducing kernel when the initial time changes. This unveils new connections between control theory and kernel methods, a field widely used in machine learning.

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DOI : 10.5802/crmath.174

Pierre-Cyril Aubin-Frankowski 1

1 École des Ponts ParisTech and CAS, MINES ParisTech, PSL Research University, France
Licence : CC-BY 4.0
Droits d'auteur : Les auteurs conservent leurs droits 
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Pierre-Cyril Aubin-Frankowski. Interpreting the dual Riccati equation through the LQ reproducing kernel. Comptes Rendus. Mathématique, Volume 359 (2021) no. 2, pp. 199-204. doi : 10.5802/crmath.174. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.5802/crmath.174/

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