Learning Linear-Quadratic Regulators Efficiently with only $\sqrt{T}$ Regret

Alon Cohen; Tomer Koren; Yishay Mansour

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arXiv · 1902.06223

Learning Linear-Quadratic Regulators Efficiently with only $\sqrt{T}$ Regret

Alon Cohen·Tomer Koren·Yishay Mansour

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Abstract

We present the first computationally-efficient algorithm with $\widetilde O(\sqrt{T})$ regret for learning in Linear Quadratic Control systems with unknown dynamics. By that, we resolve an open question of Abbasi-Yadkori and Szepesv\'ari (2011) and Dean, Mania, Matni, Recht, and Tu (2018).

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Alon Cohen, Tomer Koren, Yishay Mansour. 2019-02-17. Learning Linear-Quadratic Regulators Efficiently with only $\sqrt{T}$ Regret. https://arxiv.org/abs/1902.06223

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