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arXiv · 1206.6141

Directed Time Series Regression for Control

Yi-Hao Kao·Benjamin Van Roy
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Abstract

We propose directed time series regression, a new approach to estimating parameters of time-series models for use in certainty equivalent model predictive control. The approach combines merits of least squares regression and empirical optimization. Through a computational study involving a stochastic version of a well known inverted pendulum balancing problem, we demonstrate that directed time series regression can generate significant improvements in controller performance over either of the aforementioned alternatives.

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Yi-Hao Kao, Benjamin Van Roy. 2012-06-26. Directed Time Series Regression for Control. https://arxiv.org/abs/1206.6141

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