Data-Driven Distributionally Robust Optimal Control with State-Dependent Noise

This paper introduces innovative data-driven techniques for estimating the noise distribution and KL divergence bound for distributionally robust optimal control (DROC). The proposed approach addresses the limitation of traditional DROC approaches that require known ambiguity sets for the noise distribution, our approach can learn these distributions and bounds in real-world scenarios where they may not be known a priori. To evaluate the effectiveness of our approach, a navigation problem involving a car-like robot under different noise distributions is used as a numerical example. The results demonstrate that DROC combined with the proposed data-driven approaches, what we call D3ROC, provide robust and efficient control policies that outperform the traditional iterative linear quadratic Gaussian (iLQG) control approach. Moreover, it shows the effectiveness of our proposed approach in handling different noise distributions. Overall, the proposed approach offers a promising solution to real-world DROC problems where the noise distribution and KL divergence bounds may not be known a priori, increasing the practicality and applicability of the DROC framework.