Primal-Dual Contextual Bayesian Optimization for Control System Online Optimization with Time-Average Constraints
Primal-Dual Contextual Bayesian Optimization for Control System Online Optimization with Time-Average Constraints
This paper studies the problem of online performance optimization of constrained closed-loop control systems, where both the objective and the constraints are unknown black-box functions affected by exogenous time-varying contextual disturbances. A primal-dual contextual Bayesian optimization algorithm is proposed that achieves sublinear cumulative regret with respect to the dynamic optimal …