Viswas Dinesh

Shifted-Chart Composition for Horizon-Optimal Time-Varying LQR

Horizon optimization in finite-horizon LQR treats the horizon $T$ as a decision variable and adds a penalty $wT$ to the cost. Recent composition-based methods evaluate all candidate horizons in $O(Nn^3)$, instead of the $O(N^2n^3)$ of one Riccati recursion per horizon, but they track the inverse cost-to-go $P^{-1}$ and...