Iterative Linearized Control: Stable Algorithms and Complexity Guarantees

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Vincent Roulet, Siddhartha Srinivasa, Dmitriy Drusvyatskiy, Zaid Harchaoui ;
Proceedings of the 36th International Conference on Machine Learning, PMLR 97:5518-5527, 2019.

Abstract

We examine popular gradient-based algorithms for nonlinear control in the light of the modern complexity analysis of first-order optimization algorithms. The examination reveals that the complexity bounds can be clearly stated in terms of calls to a computational oracle related to dynamic programming and implementable by gradient back-propagation using machine learning software libraries such as PyTorch or TensorFlow. Finally, we propose a regularized Gauss-Newton algorithm enjoying worst-case complexity bounds and improved convergence behavior in practice. The software library based on PyTorch is publicly available.

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