Learning Linear-Quadratic Regulators Efficiently with only $\sqrtT$ Regret

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Alon Cohen, Tomer Koren, Yishay Mansour ;
Proceedings of the 36th International Conference on Machine Learning, PMLR 97:1300-1309, 2019.

Abstract

We present the first computationally-efficient algorithm with $\widetilde{O}(\sqrt{T})$ regret for learning in Linear Quadratic Control systems with unknown dynamics. By that, we resolve an open question of Abbasi-Yadkori and Szepesvari (2011) and Dean,Mania, Matni, Recht, and Tu (2018).

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