JournalsrmiVol. 38, No. 7pp. 2185–2216

Controlling unknown linear dynamics with bounded multiplicative regret

  • Jacob Carruth

    Princeton University, USA

  • Maximilian F. Eggl

    University of Mainz Medical Center, Germany

  • Charles Fefferman

    Princeton University, USA

  • Clarence W. Rowley

    Princeton University, USA

  • Melanie Weber

    University of Oxford, UK
Controlling unknown linear dynamics with bounded multiplicative regret cover
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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.

Cite this article

Jacob Carruth, Maximilian F. Eggl, Charles Fefferman, Clarence W. Rowley, Melanie Weber, Controlling unknown linear dynamics with bounded multiplicative regret. Rev. Mat. Iberoam. 38 (2022), no. 7, pp. 2185–2216

DOI 10.4171/RMI/1377