Sparsity in the Partially Controllable LQR

A fundamental concept in control theory is that of controllability, where any system state can be reached through an appropriate choice of control inputs. Indeed, a large body of classical and modern approaches are designed for controllable linear dynamical systems. However, in practice, we often encounter systems in which a large set of state variables evolve exogenously and independently of the control inputs; such systems are only \emph{partially controllable}. The focus of this work is on a large class of partially controllable linear dynamical system, specified by an underlying sparsity pattern. Our main results establish structural conditions and finite-sample guarantees for learning to control such systems. In particular, our structural results characterize those state variables which are irrelevant for optimal control, an analysis which departs from classical control techniques. Our algorithmic results adapt techniques from high-dimensional statistics---specifically soft-thresholding and semiparametric least-squares---to exploit the underlying sparsity pattern in order to obtain finite-sample guarantees that significantly improve over those based on certainty-equivalence. We also corroborate these theoretical improvements over certainty-equivalent control through a simulation study.