Rate-Optimal Online Convex Optimization in Adaptive Linear Control

06/03/2022

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by   Asaf Cassel, et al.

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We consider the problem of controlling an unknown linear dynamical system under adversarially changing convex costs and full feedback of both the state and cost function. We present the first computationally-efficient algorithm that attains an optimal √(T)-regret rate compared to the best stabilizing linear controller in hindsight, while avoiding stringent assumptions on the costs such as strong convexity. Our approach is based on a careful design of non-convex lower confidence bounds for the online costs, and uses a novel technique for computationally-efficient regret minimization of these bounds that leverages their particular non-convex structure.