2023/11/22 by Carruth, Jacob
#93E20 (Secondary) #93E35 (Primary) #FOS: Mathematics #Optimization and Control (math.OC)
paper · doi:10.48550/arxiv.2311.13365
We consider a simple linear control problem in which a single parameter b, describing the effect of the control variable, is unknown and must be learned. We work in the setting of agnostic control: we allow b to be any real number and we do not assume that we have a prior belief about b. For any fixed time horizon, we produce a strategy whose expected cost is within a constant factor of the best possible.