
Consider the following discrete-time LTI system $$x_{k+1} = A x_k + B u_k + w_k \:, \:\: x_1 = 0 \:.$$ When we frame the LQR problem, we make a distributional assumption on $w_k$, namely it is driven by (say) a zero-mean independent stochastic process. The resulting LQR controller is optimal under this statistical assumption. While the distributional assumption makes for an elegant theory, it is quite a strong assumption in practice, and it is not obvious how the performance of the LQR controller suffers when the stochastic assumption does not hold.

In $H_\infty$ optimal control, we take a distribution free, adversarial approach. Instead, we aim to design a controller that behaves well in the worst-case. Mathematically, there are many ways to frame this. One such framing is as follows: \begin{align} \min_{u} \max_{w : \norm{w} \leq 1} \sum_{k=1}^{K} x_k^\T Q x_k + u_k^\T R u_k + x_{K+1}^\T Q_f x_{K+1} \:, \label{eq:hinf_opt} \end{align} where the minimum over $u$ is over causal functions $u_k = u_k(x_k, x_{k-1}, x_{k-2}, ...)$ and the maximum over $w$ is over $\ell_2$ bounded signals that satisfy $\sum_{k \geq 0} \norm{w_k}^2 \leq 1$ (the one here is arbitrary). Here, we assume the matrices $Q, Q_f, R$ are positive definite for simplicity. While this optimal control problem appears to be harder than the LQR problem, it turns out that it can be solved with very similar techniques, namely dynamic programming.

### A Related Dynamic Game

The approach taken in Başar and Bernhard's book is to first solve a related dynamic game. Define the functional $L_\gamma(u, w)$ as: $$L_\gamma(u, w) = \sum_{k=1}^{K} x_k^\T Q x_k + u_k^\T R u_k - \gamma^2 w_k^\T w_k + x_{K+1}^\T Q_f x_{K+1} \:.$$ The game we are now interested in solving is: \begin{align} \min_{u} \max_{w} L_\gamma(u, w) \:. \label{eq:game_one} \end{align} Notice how $w$ no longer has any constraints.

Theorem: Define the sequence of matrices: \begin{align*} M_k &= Q + A^\T M_{k+1} \Lambda_k^{-1} A_k \:, \:\: M_{K+1} = Q_f \:, \\ \Lambda_k &= I + (B R^{-1} B^\T - \gamma^{-2} I) M_{k+1} \:, \end{align*} and suppose that $$\gamma^2 I - M_k \succ 0 \:, \:\: k = 2, ..., K+1 \:.$$ Then the dynamic game $\eqref{eq:game_one}$ has a unique saddle point solution. The solution is given by: \begin{align*} u_k^* &= - R^{-1} B^\T M_{k+1} \Lambda_k^{-1} A x_k \:, \\ w_k^* &= \gamma^{-2} M_{k+1} \Lambda_k^{-1} A_k x_k \:. \end{align*} and its value is $$\min_u \max_w L_\gamma(u, w) = x_1^\T M_1 x_1 \:.$$

Proof: The proof uses the Issacs's equations, which establish sufficient conditions for a saddle point solution of a dynamic game to exist. We first solve an auxiliary problem. Fix a vector $x$ and positive semi-definite matrix $M$ that satisfies $\gamma^2 I - M \succ 0$. Define $h(u, w)$ to be: $$h(u, w) = x^\T Q x + u^\T R u - \gamma^2 w^\T w + (A x + B u + w)^\T M (A x + B u + w) \:.$$ Then the mapping $u \mapsto h(u, w)$ is strictly convex for any $w$ and $w \mapsto h(u, w)$ is strictly concave for any $u$. To see this, observe that: \begin{align*} \nabla^2_u h(u, w) &= 2R + B^\T M B \:, \\ \nabla^2_w h(u, w) &= - 2 \gamma^2 I + 2 M \:. \end{align*} This shows that $\nabla^2_u h(u, w)$ is positive definite and $\nabla^2_w h(u, w)$ is negative definite. Consider the game $$\min_u \max_w h(u, w) \:.$$ We first compute $\max_w h(u, w)$, denoting the unique maximizer as $w^*(u)$: \begin{align*} 0 &= \nabla_w h(u, w) = -2\gamma^2 w + 2 M w + 2 M(A x + B u) \:, \\ \Longrightarrow w^*(u) &= (\gamma^2 I - M)^{-1} M (Ax + Bu) \:. \end{align*} Now we solve for the optimal $u$, noting that $$\min_u \max_w h(u, w) = \min_u h(u, w^*(u)) \:.$$ First, we note that: $$A x + B u + w^*(u) = (I + (\gamma^2 I - M)^{-1} M) (A x + B u) = \gamma^2 (\gamma^2 I - M)^{-1} (A x + B u) \:.$$ Hence, \begin{align*} h(u, w^*(u)) &= x^\T Q x + u^\T R u - \gamma^2 (Ax + Bu)^\T M^2 (\gamma^2 I - M)^{-2} (A x + B u) \\ &\qquad + \gamma^4 (Ax + Bu)^\T M (\gamma^2 I - M)^{-2} (A x + B u) \\ &= x^\T Q x + u^\T R u + (A x + Bu)^\T (\gamma^4 M (\gamma^2 I - M)^{-2} - \gamma^2 M^2 (\gamma^2 I - M)^{-2} ) (A x + Bu) \\ &= x^\T Q x + u^\T R u + (A x + Bu)^\T (\gamma^2 M (\gamma^2 I - M)^{-1}) (A x + B u) \\ &:= x^\T Q x + u^\T R u + (A x + Bu)^\T F (A x + B u) \\ &= \begin{bmatrix} x \\ u \end{bmatrix}^\T \begin{bmatrix} Q + A^\T F A & A^\T F B \\ B^\T F A & R + B^\T F B \end{bmatrix} \begin{bmatrix} x \\ u \end{bmatrix} \:. \end{align*} To compute $\min_u h(u, w^*(u))$, we know that partial minimization of a strongly convex quadratic is given by the Schur complement, i.e. $$\min_u h(u, w^*(u)) = x^\T (Q + A^\T F A - A^\T F B (R + B^\T F B)^{-1} B^\T F A) x \:.$$ Next, by the matrix inversion lemma, \begin{align*} &(I + (B R^{-1} B^\T - \gamma^{-2} I) M)^{-1} \\ &\qquad= ( (I - \gamma^{-2} M) + B R^{-1} B^\T M )^{-1} \\ &\qquad= (I - \gamma^{-2}M)^{-1} - (I - \gamma^{-2}M)^{-1} B (R + B^\T M (I - \gamma^{-2}M)^{-1} B)^{-1} B^\T M (I - \gamma^{-2}M)^{-1} \:. \end{align*} On the other hand, we have \begin{align*} &F - F B(R + B^\T F B)^{-1} B^\T F \\ &\qquad= M (I - \gamma^{-2} M)^{-1} - M (I - \gamma^{-2} M)^{-1} B (R + B^\T M (I - \gamma^{-2} M)^{-1} B)^{-1} B^\T M (I - \gamma^{-2} M)^{-1} \\ &\qquad= M( (I - \gamma^{-2} M)^{-1} - (I - \gamma^{-2} M)^{-1} B (R + B^\T M (I - \gamma^{-2} M)^{-1} B)^{-1} B^\T M (I - \gamma^{-2} M)^{-1} ) \\ &\qquad= M (I + (B R^{-1} B^\T - \gamma^{-2} I) M)^{-1} \\ &\qquad:= M \Lambda^{-1} \:. \end{align*} Above, the last equality follows from the previous calculation. Hence, $$\min_u h(u, w^*(u)) = x^\T (Q + A^\T M \Lambda^{-1} A) x \:.$$ We also know that the optimal $u^*$ is given as $$u^* = - (R + B^\T F B)^{-1} B^\T F A x \:.$$ Next we observe that \begin{align*} - R^{-1} B^\T M \Lambda^{-1} A x &= - R^{-1} B^\T (F - F B(R + B^\T F B)^{-1} B^\T F) A x \\ &= -R^{-1} (B^\T F A x - B^\T F B(R + B^\T F B)^{-1} B^\T F A x) \\ &= -R^{-1} (I - B^\T F B(R + B^\T F B)^{-1}) B^\T F A x \\ &= -R^{-1} (R + B^\T F B - B^\T F B) (R + B^\T F B)^{-1} B^\T F A x \\ &= - (R + B^\T F B)^{-1} B^\T F A \:, \end{align*} and therefore we can also write $u^* = - R^{-1} B^\T M \Lambda^{-1} A x$. Similarly, \begin{align*} w^*(u) &= \gamma^{-2} F(A x + Bu) \\ &= \gamma^{-2} F(A x - B(R + B^\T F B)^{-1} B^\T F A x) \\ &= \gamma^{-2} F(I - B(R + B^\T F B)^{-1} B^\T F) Ax \\ &= \gamma^{-2} (F - FB(R + B^\T F B)^{-1} B^\T F) Ax \\ &= \gamma^{-2} M \Lambda^{-1} A x \:. \end{align*} These calculations show that if we set $V_k(x) = x^\T M_k x$, then we have found a solution to the Issacs's equations under the given hypothesis (I am omitting some details here). $\square$

### Reduction to $H_\infty$ Optimal Control Problem

Previously, we discussed how to solve a dynamic game involving $L_\gamma(u, w)$. We now sketch the argument for why the solution to this game is also a solution to the original $H_\infty$ optimal control problem $\eqref{eq:hinf_opt}$. Call the original cost in $\eqref{eq:hinf_opt}$ as $J(u, w)$, i.e. $$J(u, w) = \sum_{k=1}^{K} x_k^\T Q x_k + u_k^\T R u_k + x_{K+1}^\T Q_f x_{K+1} \:.$$ Let $u^\gamma$ denote the minimizing player's solution and $w^\gamma$ denote the maximizing player's solution to $\eqref{eq:game_one}$. Then for any $w$ we obtain, by the saddle point property, $$J(u^\gamma, w) - \gamma^2 \sum_{k=1}^{K} \norm{w_k}^2 = L_\gamma(u^\gamma, w) \leq L_\gamma(u^\gamma, w^\gamma) = V_1(x_1) = 0 \:.$$ Since this holds for any $w$, we have $$\max_{w} \frac{J(u^\gamma, w)}{\sum_{k=1}^{K} \norm{w_k}^2} \leq \gamma^2 \:.$$ Now observe that, since the initial condition $x_1 = 0$, the map $w \mapsto \sqrt{J(u, w)}$ is positive homogenous. (Note when $x_1 \neq 0$ what follows does not hold). Hence, $$\max_{w} \frac{J(u^\gamma, w)}{\sum_{k=1}^{K} \norm{w_k}^2} = \max_{w: \norm{w} \leq 1} J(u^\gamma, w) \:.$$ The last piece remaining is that this $\gamma$ was chosen arbitrary, as long as it satisfied the conditions of the theorem in the previous section so that the solutions $u^\gamma, w^\gamma$ are well defined. Let $\gamma_\star$ denote the smallest $\gamma$ such that those conditions are satisfied. It turns out that the controller $u^{\gamma_\star}$ is the solution to $\eqref{eq:hinf_opt}$, and the value of the dynamic game is $\gamma_\star^2$.

### Infinite Horizon Setting

It turns out that these results also generalize to the infinite horizon setting. In the infinite horizon case, one searches for a positive semi-definite $M$, $\Lambda$, and $\gamma$ such that the following conditions hold: \begin{align*} M &= Q + A^\T M \Lambda^{-1} A \:, \\ \Lambda &= I + (B R^{-1} B^\T - \gamma^{-2} I) M \:, \\ 0 & \prec \gamma^2 I - M \:. \end{align*} The controller is then time-invariant, using $M$ in place of $M_k$.