Lale, Sahin and Azizzadenesheli, Kamyar and Hassibi, Babak and Anandkumar, Anima (2020) Regret Minimization in Partially Observable Linear Quadratic Control. . (Unpublished) https://resolver.caltech.edu/CaltechAUTHORS:20200214-105620768
![]() |
PDF (8 Mar 2020)
- Submitted Version
See Usage Policy. 627kB |
Use this Persistent URL to link to this item: https://resolver.caltech.edu/CaltechAUTHORS:20200214-105620768
Abstract
We study the problem of regret minimization in partially observable linear quadratic control systems when the model dynamics are unknown a priori. We propose ExpCommit, an explore-then-commit algorithm that learns the model Markov parameters and then follows the principle of optimism in the face of uncertainty to design a controller. We propose a novel way to decompose the regret and provide an end-to-end sublinear regret upper bound for partially observable linear quadratic control. Finally, we provide stability guarantees and establish a regret upper bound of O(T^(2/3)) for ExpCommit, where T is the time horizon of the problem.
Item Type: | Report or Paper (Discussion Paper) | ||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Related URLs: |
| ||||||||||||||||||||||||||||||||
ORCID: |
| ||||||||||||||||||||||||||||||||
Additional Information: | S. Lale is supported in part by DARPA PAI. K. Azizzadenesheli is supported in part by Raytheon and Amazon Web Service. B. Hassibi is supported in part by the National Science Foundation under grants CNS-0932428, CCF-1018927, CCF-1423663 and CCF-1409204, by a grant from Qualcomm Inc., by NASA’s Jet Propulsion Laboratory through the President and Director’s Fund, and by King Abdullah University of Science and Technology. A. Anandkumar is supported in part by Bren endowed chair, DARPA PAIHR00111890035 and LwLL grants, Raytheon, Microsoft, Google, and Adobe faculty fellowships. | ||||||||||||||||||||||||||||||||
Funders: |
| ||||||||||||||||||||||||||||||||
Record Number: | CaltechAUTHORS:20200214-105620768 | ||||||||||||||||||||||||||||||||
Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20200214-105620768 | ||||||||||||||||||||||||||||||||
Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||||||||||||||||||||||||||||||
ID Code: | 101307 | ||||||||||||||||||||||||||||||||
Collection: | CaltechAUTHORS | ||||||||||||||||||||||||||||||||
Deposited By: | George Porter | ||||||||||||||||||||||||||||||||
Deposited On: | 14 Feb 2020 19:28 | ||||||||||||||||||||||||||||||||
Last Modified: | 23 Dec 2022 18:56 |
Repository Staff Only: item control page