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Regret Lower Bounds for Learning Linear Quadratic Gaussian Systems
Univ Penn, Philadelphia, PA 19104 USA..
KTH, School of Electrical Engineering and Computer Science (EECS), Intelligent systems, Decision and Control Systems (Automatic Control).ORCID iD: 0000-0003-1835-2963
2025 (English)In: IEEE Transactions on Automatic Control, ISSN 0018-9286, E-ISSN 1558-2523, Vol. 70, no 1, p. 159-173Article in journal (Refereed) Published
Abstract [en]

In this article, we establish regret lower bounds for adaptively controlling an unknown linear Gaussian system with quadratic costs. We combine ideas from experiment design, estimation theory, and a perturbation bound of certain information matrices to derive regret lower bounds exhibiting scaling on the order of magnitude root T in the time horizon T . Our bounds accurately capture the role of control-theoretic parameters and we are able to show that systems that are hard to control are also hard to learn to control; when instantiated to state feedback systems we recover the dimensional dependency of earlier work but with improved scaling with system-theoretic constants, such as system costs and Gramians. Furthermore, we extend our results to a class of partially observed systems and demonstrate that systems with poor observability structure also are hard to learn to control.

Place, publisher, year, edition, pages
Institute of Electrical and Electronics Engineers (IEEE) , 2025. Vol. 70, no 1, p. 159-173
Keywords [en]
Costs, Observability, Adaptation models, Controllability, Adaptive control, Uncertainty, State feedback, closed loop identification, fundamental limits, statistical learning
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-358828DOI: 10.1109/TAC.2024.3439132ISI: 001387140800013Scopus ID: 2-s2.0-85200818983OAI: oai:DiVA.org:kth-358828DiVA, id: diva2:1929887
Note

QC 20250121

Available from: 2025-01-21 Created: 2025-01-21 Last updated: 2025-01-28Bibliographically approved

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Sandberg, Henrik

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