CaltechAUTHORS
  A Caltech Library Service

Regret Minimization in Partially Observable Linear Quadratic Control

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 (Unpublished) https://resolver.caltech.edu/CaltechAUTHORS:20200214-105620768

[img] PDF (8 Mar 2020) - Submitted Version
See Usage Policy.

612Kb

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:
URLURL TypeDescription
http://arxiv.org/abs/2002.00082arXivDiscussion Paper
ORCID:
AuthorORCID
Azizzadenesheli, Kamyar0000-0001-8507-1868
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:
Funding AgencyGrant Number
Defense Advanced Research Projects Agency (DARPA)PAIHR00111890035
Raytheon CompanyUNSPECIFIED
Amazon Web ServicesUNSPECIFIED
NSFCNS-0932428
NSFCCF-1018927
NSFCCF-1423663
NSFCCF-1409204
Qualcomm Inc.UNSPECIFIED
JPL President and Director's FundUNSPECIFIED
King Abdullah University of Science and Technology (KAUST)UNSPECIFIED
Bren Professor of Computing and Mathematical SciencesUNSPECIFIED
Learning with Less Labels (LwLL)UNSPECIFIED
Microsoft Faculty FellowshipUNSPECIFIED
Google Faculty Research AwardUNSPECIFIED
AdobeUNSPECIFIED
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:09 Nov 2020 22:52

Repository Staff Only: item control page