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.
Original language | English (US) |
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Pages (from-to) | 2185-2216 |
Number of pages | 32 |
Journal | Revista Matematica Iberoamericana |
Volume | 38 |
Issue number | 7 |
DOIs | |
State | Published - 2022 |
All Science Journal Classification (ASJC) codes
- General Mathematics
Keywords
- Bounded regret
- LQR control
- adaptive control
- competitive ratio