Learning Linear-Quadratic Regulators Efficiently with only T Regret
Abstract
We present the first computationally-efficient algorithm with O(T) regret for learning in Linear Quadratic Control systems with unknown dynamics. By that, we resolve an open question of Abbasi-Yadkori and Szepesv\'ari (2011) and Dean, Mania, Matni, Recht, and Tu (2018).
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