Paper:
Differentiable MPC for End-to-end Planning and Control
We present foundations for using Model Predictive Control (MPC) as a differentiable policy class for reinforcement learning in continuous state and action spaces. This provides one way of leveraging and combining the advantages of model-free and model-based approaches. Specifically, we differentiate through MPC by using the KKT conditions of the convex approximation at a fixed point of the controller. Using this strategy, we are able to learn the cost and dynamics of a controller via end-to-end learning. Our experiments focus on imitation learning in the pendulum and cartpole domains, where we learn the cost and dynamics terms of an MPC policy class. We show that our MPC policies are significantly more data-efficient than a generic neural network and that our method is superior to traditional system identification in a setting where the expert is unrealizable.

Review:
\documentclass[12pt,a4paper]{article} \usepackage[utf8]{inputenc} \usepackage{amsmath} \usepackage{amsfonts} \usepackage{amssymb}  \begin{document}  Consider rendering this review in LaTeX for a better experience.   \section{Paper summary}  This paper builds upon the recently proposed approach~\cite{amos2017optnet} to differentiating through quadratic programs (QP). More precisely, if $x^\star$ is the solution of a QP, the algorithm developed in~\cite{amos2017optnet} provides an efficient way to find derivatives of a scalar loss function $l(x^\star)$ with respect to the parameters of the QP, i.e., the matrices and vectors in the definition of the QP.  Since the linear quadratic regulator (LQR) problem is but a large QP, one can apply the methodology from~\cite{amos2017optnet}. Due to the chain structure of the computation graph for the LQR, the problem of finding derivatives of a loss function defined over optimal trajectories can be efficiently solved using Riccati recursion, which is summarized in Algorithm~1.  A non-trivial insight of the paper is to extend this approach to non-linear trajectory optimization problems. Popular sequential quadratic programming (SQP) solvers (including iLQR) proceed by solving a sequence of local QP approximations of the original non-linear trajectory optimization problem. Consequently, once converged, they output the `optimal' quadratic approximation of the original problem as a by-product. By applying Algorithm~1 to this surrogate QP, one can find the exact derivatives of a loss function defined on an optimal trajectory.  Another contribution of the paper is to incorporate box constraints on the controls by considering box-constrained QPs. The full procedure of differentiating through non-linear trajectory optimization is described in Algorithm~2.  The main advantage of the proposed algorithm is in providing constant-time backward pass for evaluating the derivative. Prior works would unroll all iterations of the SQP solver, thus the backward pass would scale linearly with the number of SQP iterations. Figure~1 shows the dramatic effect of the simplification that the proposed algorithm provides.  As a proof of concept, the authors apply Algorithm~1 to LQR system identification problem with time-invariant matrices $A$ and $B$. The unusual feature of the approach taken in this paper is that system identification happens as a consequence of minimizing quadratic imitation loss between actions of the optimal controller and the one with adjustable matrices $A$ and $B$. This experiment serves mainly to confirm that the equations derived in the paper are correct because, of course, this is not the most efficient way to do system identification.  Another set of simulated toy tasks shows that the algorithm can recover the system dynamics as well as the reward function from observed sequences of optimal controls $u_{1:T}(x; \theta)$ resulting from an initial state $x$.   \section{Paper review} Differentiation through LQR presented in this paper is a sound approach. However, I think a bit more care is needed in the non-linear trajectory optimization case. This point is explained in the following subsections.  \subsection{Title is misleading} The title reads ``differential MPC'', but the presented algorithm is actually ``differentiable non-linear trajectory optimization''. The controllers considered in the paper are of the form $u^\star_{1:T} = \pi(x_1; f_\theta, c_\theta)$ where $f_\theta(x,u)$ denotes the model of the dynamics and $c_\theta(x,u)$ denotes the model of the cost function. Here, $\pi$ is a function performing non-linear trajectory optimization. Derivatives that the authors propose are taken with respect to the optimal trajectory $\tau_{1:T} = (x^\star, u^\star)_{1:T}$.  On the other hand, an MPC controller has the form $u^\star_1 = \pi(x_1; f_\theta,c_\theta)$. So, only the first action returned by the trajectory optimizer gets executed. Then, the next state of the system is $x' = f(x, \pi(x; f_\theta,c_\theta))$. Differentiating a function of a trajectory generated in such a way with respect to $\theta$ is much more involved. But this is what one would expect to be called ``differentiable MPC''.  \subsection{LQR with box constraints} In Line 170, the authors write ``we use an LQR solver that zeros the appropriate controls''. What exactly is meant by zeroing appropriate controls? As far as I can tell, Riccati recursion does not work if one has box constraints. Instead, one has to solve a box-constrained QP at every time step  of a trajectory, starting at the end. But that sounds like a lot of computation. Is that how it is done? Or do you compute an unconstrained LQR and then clamp the controls?  \subsection{Local minima in non-linear optimization} How do you deal with the problem that the SQP solver delivers only a local optimum? The solution to which the solver converges in the forward run is usually highly dependent on the initial trajectory. That means the derivative computed according to the proposed method depends on the initialization of the SQP solver.  \subsection{Questions about experiments} In Line 234, the authors write ``we use LQR experts''. Do you mean `iLQR experts'? Pendulum and cartpole are nonlinear problems, so I assume `iLQR' is meant here.  Could you elaborate on the cost functions in your experiments and whether you use box constraints on the controls, please? More concretely, I am wondering if the pendulum is underpowered in your experiments.  What kind of model are you learning? Is it time-varying or time-invariant?  A partial explanation of why the experiments where both the dynamics and the cost function are learned are not as conclusive may lie in the non-uniqueness of the solution: there may be more than one combination of dynamics and cost that yield the same controls. As an example, consider 1-step LQR with 1D state and controls. The total cost is \begin{equation}   J = Qx_1^2 + Ru_1^2 + Qx_2^2. \end{equation} Substitute $x_2 = ax_1 + bu_1$ to get \begin{equation}   J = (Q + Qa^2)x_1^2 + (R + Qb^2) u_1^2 + 2 Q ab x_1 u_1. \end{equation} Optimizing it with respect to $u_1$, one finds \begin{equation}   u_1 = \frac{Qab}{R+Qb^2} x_1. \end{equation} From here, it is clear that if we allow both $\{a,b\}$ and $\{Q,R\}$ to vary, there is more than one combination of them that yields the same gain.   \subsection{Minor remarks} 1) Why are plots cut at $1\mathrm{e}3$ iterations? 2) Why is the car going left in the beginning in Figure 3? 3) Why is SysID cost oscillating in Figure 4? 4) Somwhere in the text, you call derivatives `analytic'. I think calling them `exact' would be more appropriate, since there is no closed-form formula, only an algorithm for computing them.   \section{Update after rebuttal} I would like to thank the authors for addressing my comments. In my opinion, the paper provides a solid contribution and I vote for accepting it.  \begin{thebibliography}{9}  \bibitem{amos2017optnet} Amos, B., \& Kolter, J. Z. (2017). Optnet: Differentiable optimization as a layer in neural networks. \textit{arXiv preprint arXiv:1703.00443.}   \end{thebibliography}   \end{document}