Regret Bound of Adaptive Control in Linear Quadratic Gaussian Systems

We study the problem of adaptive control in partially observable linear quadratic Gaussian control systems, where the model dynamics are unknown a priori. We propose LqgOpt, a novel reinforcement learning algorithm based on the principle of optimism in the face of uncertainty, to effectively minimize the overall control cost. We employ the predictor state evolution representation of the system dynamics and propose a new approach for closed-loop system identification, estimation, and confidence bound construction. LqgOpt efficiently explores the system dynamics, estimates the model parameters up to their confidence interval, and deploys the controller of the most optimistic model for further exploration and exploitation. We provide stability guarantees for LqgOpt, and prove the regret upper bound of $\tilde{\mathcal{O}}(\sqrt{T})$ for adaptive control of linear quadratic Gaussian (LQG) systems, where $T$ is the time horizon of the problem.