Controlling unknown linear dynamics with almost optimal regret

Abstract

Here and in a companion paper, we consider a simple control problem in which the underlying dynamics depend on a parameter $a$ that is unknown and must be learned. In this paper, we assume that $a$ can be any real number and we do not assume that we have a prior belief about $a$. We seek a control strategy that minimizes a quantity called the regret. Given any $\epsilon >0$, we produce a strategy that minimizes the regret to within a multiplicative factor of $(1+\epsilon )$.