Iterative LQR

An implementation of the basic iLQR algorithm focused on code readability (not performance). It includes both the "standard" control-cost Hessian regularization proposed in Jacobson1970¹ and the value function Hessian regularization from Tassa2012². The line-search implementation also follows Tassa2012² and the regularization schedule is based on values of the line-search parameter³. Currently, no form parallelization is implemented, but it will likely be added at some point in the future.

Footnotes

1. Jacobson, David H. and Mayne, David Q. - Differential Dynamic Programming. - 1970. ↩

2. Tassa, Yuval and Erez, Tom and Todorov, Emanuel - Synthesis and stabilization of complex behaviors through online trajectory optimization. - 2012. ↩ ↩²

3. The idea is not novel, but I do not recall the paper where it is introduced. ↩