# Controlling Unknown Linear Dynamics with Bounded Multiplicative Regret

### Abstract

We consider a simple control problem in which the underlying dynamics depend on a parameter that is unknown and must be learned. We exhibit a control strategy which is optimal to within a multiplicative constant. While most authors find strategies which are successful as the time horizon tends to infinity, our strategy achieves lowest expected cost up to a constant factor for a fixed time horizon.

Type
Publication
Revista Matematica Iberoamericana
Date