- Alon Cohen
- Avinatan Hassidim
- Tomer Koren
- Nevena Lazic
- Yishay Mansour
- Kunal Talwar
ICML (2018)
We study the problem of controlling linear time-invariant systems with known noisy dynamics and adversarially chosen quadratic losses. We present the first efficient online learning algorithms in this setting that guarantee O(√T) regret under mild assumptions, where T is the time horizon. Our algorithms rely on a novel SDP relaxation for the steady-state distribution of the system. Crucially, and in contrast to previously proposed relaxations, the feasible solutions of our SDP all correspond to strongly stable'' policies that mix exponentially fast to a steady state.
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