LQGNET: Hybrid Model-Based and Data-Driven Linear Quadratic Stochastic Control

Stochastic control deals with finding an optimal control signal for a dynamical system in a setting with uncertainty, playing a key role in numerous applications. The linear quadratic Gaussian (LQG) is a widely-used setting, where the system dynamics is represented as a linear Gaussian state-space (SS) model, and the objective function is quadratic. For this setting, the optimal controller is obtained in closed form by the separation principle. However, in practice, the underlying system dynamics often cannot be faithfully captured by a fully known linear Gaussian SS model, limiting its performance. Here, we present LQGNet, a stochastic controller that leverages data to operate under partially known dynamics. LQGNet augments the state tracking module of separation-based control with a dedicated trainable algorithm. The resulting system preserves the operation of classic LQG control while learning to cope with partially known SS models without having to fully identify the dynamics. We empirically show that LQGNet outperforms classic stochastic control by overcoming mismatched SS models.