Minimax optimal dual control -- The single input case

Abstract

An explicit solution is derived for the Bellman inequality corresponding to minimax optimal dual control. The minimizing player determines control action as a function of past state measurements and inputs. The maximizing player selects disturbances and model parameters for the underlying linear time-invariant dynamics. The optimal minimizing policy is a dual controller that optimizes the tradeoff between exploration and exploitation. Once sufficient data has been collected, the policy becomes a deterministic certainty equivalence controller. However, when data is insufficient, the policy introduces a randomized term to improve excitation.