Observed Control - Linearly Scalable Nonlinear Model Predictive Control with Adaptive Horizons

We study finite-horizon quadratic control of linear systems with bilinear observations, in which the control input affects not only the state dynamics but also the partial observations of the state. In this setting, the separation principle can fail because control inputs influence the future quality of state estimates. State estimation requires an input-dependent Kalman filter whose gain and error covariance evolve as functions of the control inputs. To address this challenge, we propose a belief-space model predictive control ($\texttt{B-MPC}$) method that plans directly over both the estimated state and its error covariance. In particular, $\texttt{B-MPC}$ plans with a deterministic surrogate of the belief evolution defined by the input-dependent Kalman filter. Through numerical experiments in two synthetic settings, we show that $\texttt{B-MPC}$ can outperform both the separation-principle controller and its MPC variant in favorable regimes, and that these gains are accompanied by lower estimation covariance and more uncertainty-aware action choices.

Nonlinear Model Predictive Control requires solving a constrained nonlinear program (NLP) in real-time at every sampling instant, a computational bottleneck that limits deployment on resource-constrained hardware or at high sampling rates. We address this challenge for the broad class of input-affine nonlinear systems to show that the optimal control move can be approximated by a state-dependent quadratic program (QP) whose cost parameters depend on the current state and reference. We propose a single-network residual-corrector architecture: a state-dependent analytic baseline provides initial QP parameters, and the network learns only the corrections needed to match the full NLP solution; the QP is solved by a differentiable interior-point layer, guaranteeing constraint satisfaction for the first control action. The network is trained offline on data generated by an NLP solver using a hybrid loss that combines supervised imitation and KKT-residual penalties. We validate the approach on a three-link planar robotic arm with Cartesian end-effector tracking, demonstrating orders-of-magnitude speedup over the NLP solver while maintaining comparable tracking performance.

We study finite-horizon budget allocation as a closed-loop economic control problem and evaluate receding-horizon Model Predictive Control (MPC) relative to reactive budgeting policies. Budgets are allocated periodically under execution noise and operational constraints, while return efficiency may evolve over time. Using a controlled simulation framework motivated by digital marketing, we compare reactive pacing to MPC across environments with increasing degrees of non-stationarity. Our results show that non-stationarity alone does not justify predictive control. When return dynamics are stationary or evolve through unpredictable stochastic drift, MPC offers no systematic advantage over reactive baselines. By contrast, when return efficiency exhibits predictable structure over the planning horizon, that is captured through an underlying model, MPC consistently outperforms reactive budgeting by exploiting intertemporal trade-offs.