Learning to steer with Brownian noise

Stefan Ankirchner; Sören Christensen; Jan Kallsen; Philip Le Borne; Stefan Perko

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arXiv · 2410.03221

Learning to steer with Brownian noise

Stefan Ankirchner·Sören Christensen·Jan Kallsen·Philip Le Borne·Stefan Perko

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Abstract

This paper considers an ergodic version of the bounded velocity follower problem, assuming that the decision maker lacks knowledge of the underlying system parameters and must learn them while simultaneously controlling. We propose algorithms based on moving empirical averages and develop a framework for integrating statistical methods with stochastic control theory. Our primary result is a logarithmic expected regret rate. To achieve this, we conduct a rigorous analysis of the ergodic convergence rates of the underlying processes and the risks of the considered estimators.

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BibTeX RIS

Stefan Ankirchner, Sören Christensen, Jan Kallsen, Philip Le Borne, Stefan Perko. 2024-10-04. Learning to steer with Brownian noise. https://arxiv.org/abs/2410.03221

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