The Nonstochastic Control Problem

11/27/2019

∙

by   Elad Hazan, et al.

∙

15

∙

share

We consider the problem of controlling an unknown linear dynamical system with non-stochastic adversarial perturbations and adversarial convex loss functions. The possibility of sub-linear regret was posed as an open question by [Tu 2019]. We answer this question in the affirmative by giving an efficient algorithm that guarantees a regret of T^(2/3). Crucial for our result is a system identification procedure that is provably effective under adversarial perturbations.