A Polynomial Chaos Approach to Stochastic LQ Optimal Control: Error Bounds and Infinite-Horizon Results

Abstract

The stochastic linear--quadratic regulator problem subject to Gaussian disturbances is well known and usually addressed via a moment-based reformulation. Here, we leverage polynomial chaos expansions, which model random variables via series expansions in a suitable ${\mathcal{L}}^2$ probability space, to tackle the non-Gaussian case. We present the optimal solutions for finite and infinite horizons and we analyze the infinite-horizon asymptotics. We show that the limit of the optimal state-input trajectory is the unique solution to a corresponding stochastic stationary optimization problem in the sense of probability measures. Moreover, we provide a constructive error analysis for finite-dimensional polynomial chaos approximations of the optimal solutions and of the optimal stationary pair in non-Gaussian settings. A numerical example illustrates our findings.