Online Stabilization of Unknown Linear Time-Varying Systems

This paper studies the problem of online stabilization of an unknown discrete-time linear time-varying (LTV) system under bounded non-stochastic (potentially adversarial) disturbances. We propose a novel algorithm based on convex body chasing (CBC). Under the assumption of infrequently changing or slowly drifting dynamics, the algorithm guarantees bounded-input-bounded-output stability in the closed loop. Our approach avoids system identification and applies, with minimal disturbance assumptions, to a variety of LTV systems of practical importance. We demonstrate the algorithm numerically on examples of LTV systems including Markov linear jump systems with finitely many jumps.