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Learning Linear-Quadratic Regulators Efficiently with only $\sqrt{T}$ Regret

Alon Cohen · Tomer Koren · Yishay Mansour

Pacific Ballroom #159

Keywords: [ Theory and Algorithms ] [ Online Learning ] [ Bandits ]

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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