Controlling Unknown Linear Dynamics with Bounded Multiplicative Regret

DOI10.4171/RMI/1377MaRDI QIDQ6377592arXivFDO

Authors Jacob Carruth, M. F. Eggl, Charles Fefferman, Clarence W. Rowley, Melanie Weber

Publication date 13 September 2021

Published in arXiv

Full work available at URL https://doi.org/10.4171/RMI/1377

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic learning and adaptive control (93E35)

arXiv classification

math.OC

Abstract: We consider a simple control problem in which the underlying dynamics depend on a parameter that is unknown and must be learned. We exhibit a control strategy which is optimal to within a multiplicative constant. While most authors find strategies which are successful as the time horizon tends to infinity, our strategy achieves lowest expected cost up to a constant factor for a fixed time horizon.

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