Sub-optimality bounds for certainty equivalent policies in partially observed systems

Abstract

In this paper, we present a generalization of the certainty equivalence principle of stochastic control. One interpretation of the classical certainty equivalence principle for linear systems with output feedback and quadratic costs is as follows: the optimal action at each time is obtained by evaluating the optimal state-feedback policy of the stochastic linear system at the minimum mean square error (MMSE) estimate of the state. Motivated by this interpretation, we consider certainty equivalent policies for general (non-linear) partially observed stochastic systems that allow for any state estimate rather than restricting to MMSE estimates. In such settings, the certainty equivalent policy is not optimal. For models where the cost and the dynamics are smooth in an appropriate sense, we derive upper bounds on the sub-optimality of certainty equivalent policies. We present several examples to illustrate the results.