Online Linear Quadratic Control

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Alon Cohen, Avinatan Hasidim, Tomer Koren, Nevena Lazic, Yishay Mansour, Kunal Talwar ;
Proceedings of the 35th International Conference on Machine Learning, PMLR 80:1029-1038, 2018.

Abstract

We study the problem of controlling linear time-invariant systems with known noisy dynamics and adversarially chosen quadratic losses. We present the first efficient online learning algorithms in this setting that guarantee $O(\sqrt{T})$ regret under mild assumptions, where $T$ is the time horizon. Our algorithms rely on a novel SDP relaxation for the steady-state distribution of the system. Crucially, and in contrast to previously proposed relaxations, the feasible solutions of our SDP all correspond to “strongly stable” policies that mix exponentially fast to a steady state.

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