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arXiv · 2109.06350

Controlling Unknown Linear Dynamics with Bounded Multiplicative Regret

Jacob Carruth·Maximilian F. Eggl·Charles Fefferman·Clarence W. Rowley·Melanie Weber
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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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Jacob Carruth, Maximilian F. Eggl, Charles Fefferman, Clarence W. Rowley, Melanie Weber. 2021-09-13. Controlling Unknown Linear Dynamics with Bounded Multiplicative Regret. https://arxiv.org/abs/2109.06350

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