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.
All Science Journal Classification (ASJC) codes
- Bounded regret
- LQR control
- adaptive control
- competitive ratio