Related papers: Minimal regret state estimation of time-varying sy…
As we move towards safety-critical cyber-physical systems that operate in non-stationary and uncertain environments, it becomes crucial to close the gap between classical optimal control algorithms and adaptive learning-based methods. In…
This paper describes some new results on recursive l_1-minimizing by Kalman filtering. We consider the l_1-norm as an explicit constraint, formulated as a nonlinear observation of the state to be estimated. Interpretiing a sparse vector to…
We provide a solution to the problem of receding horizon control for stochastic discrete-time systems with bounded control inputs and imperfect state measurements. For a suitable choice of control policies, we show that the finite-horizon…
We study optimal regret bounds for control in linear dynamical systems under adversarially changing strongly convex cost functions, given the knowledge of transition dynamics. This includes several well studied and fundamental frameworks…
We consider control in linear time-varying dynamical systems from the perspective of regret minimization. Unlike most prior work in this area, we focus on the problem of designing an online controller which minimizes regret against the best…
We consider the problem of online control of systems with time-varying linear dynamics. This is a general formulation that is motivated by the use of local linearization in control of nonlinear dynamical systems. To state meaningful…
We investigate online convex optimization in non-stationary environments and choose dynamic regret as the performance measure, defined as the difference between cumulative loss incurred by the online algorithm and that of any feasible…
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…
This paper investigates the problem of regret minimization in linear time-varying (LTV) dynamical systems. Due to the simultaneous presence of uncertainty and non-stationarity, designing online control algorithms for unknown LTV systems…
This letter studies the problem of online multi-step-ahead prediction for unknown linear stochastic systems. Using conditional distribution theory, we derive an optimal parameterization of the prediction policy as a linear function of…
In this paper, we propose a learning approach to analyze dynamic systems with asymmetric information structure. Instead of adopting a game theoretic setting, we investigate an online quadratic optimization problem driven by system noises…
We consider the problem of online estimation of a real-valued signal corrupted by oblivious zero-mean noise using linear estimators. The estimator is required to iteratively predict the underlying signal based on the current and several…
Recent literature has made much progress in understanding \emph{online LQR}: a modern learning-theoretic take on the classical control problem in which a learner attempts to optimally control an unknown linear dynamical system with fully…
In this work, we focus on the design of optimal controllers that must comply with an information structure. State-of-the-art approaches do so based on the H2 or Hinfty norm to minimize the expected or worst-case cost in the presence of…
In this paper, we propose a new model reduction technique for linear stochastic systems that builds upon knowledge filtering and utilizes optimal Kalman filtering techniques. This new technique will reduce the dimension of the noise…
We study the problem of dynamic regret minimization in online convex optimization, in which the objective is to minimize the difference between the cumulative loss of an algorithm and that of an arbitrary sequence of comparators. While the…
We consider the setting of iterative learning control, or model-based policy learning in the presence of uncertain, time-varying dynamics. In this setting, we propose a new performance metric, planning regret, which replaces the standard…
We present a new anytime algorithm that achieves near-optimal regret for any instance of finite stochastic partial monitoring. In particular, the new algorithm achieves the minimax regret, within logarithmic factors, for both "easy" and…
The problem of regret minimization for online adaptive control of linear-quadratic systems is studied. In this problem, the true system transition parameters (matrices $A$ and $B$) are unknown, and the objective is to design and analyze…
We study the control of finite-state systems driven by exogenous disturbances, and design causal policies that track the performance of a lookahead benchmark controller. This objective is formalized through dynamic regret, so that favorable…