Oral
Logarithmic Regret for Online Control
Naman Agarwal · Elad Hazan · Karan Singh
We study optimal regret bounds for control in linear dynamical systems under adversarially changing strongly convex cost functions, given the knowledge of transition dynamics. This includes several well studied and influential frameworks such as the Kalman filter and the linear quadratic regulator. State of the art methods achieve regret which scales as T^0.5, where T is the time horizon.
We show that the optimal regret in this fundamental setting can be significantly smaller, scaling as polylog(T). This regret bound is achieved by two different efficient iterative methods, online gradient descent and online natural gradient.
Author Information
Naman Agarwal (Google)
Elad Hazan (Princeton University)
Karan Singh (Princeton University)
Related Events (a corresponding poster, oral, or spotlight)
-
2019 Poster: Logarithmic Regret for Online Control »
Tue Dec 10th 10:45 AM -- 12:45 PM Room East Exhibition Hall B + C
More from the Same Authors
-
2019 Poster: Private Learning Implies Online Learning: An Efficient Reduction »
Alon Gonen · Elad Hazan · Shay Moran -
2019 Spotlight: Private Learning Implies Online Learning: An Efficient Reduction »
Alon Gonen · Elad Hazan · Shay Moran -
2018 Poster: Online Improper Learning with an Approximation Oracle »
Elad Hazan · Wei Hu · Yuanzhi Li · Zhiyuan Li -
2018 Poster: Online Learning of Quantum States »
Scott Aaronson · Xinyi Chen · Elad Hazan · Satyen Kale · Ashwin Nayak -
2018 Poster: Spectral Filtering for General Linear Dynamical Systems »
Elad Hazan · Holden Lee · Karan Singh · Cyril Zhang · Yi Zhang -
2018 Oral: Spectral Filtering for General Linear Dynamical Systems »
Elad Hazan · Holden Lee · Karan Singh · Cyril Zhang · Yi Zhang -
2017 Poster: Linear Convergence of a Frank-Wolfe Type Algorithm over Trace-Norm Balls »
Zeyuan Allen-Zhu · Elad Hazan · Wei Hu · Yuanzhi Li -
2017 Poster: Learning Linear Dynamical Systems via Spectral Filtering »
Elad Hazan · Karan Singh · Cyril Zhang -
2017 Spotlight: Online Learning of Linear Dynamical Systems »
Elad Hazan · Karan Singh · Cyril Zhang -
2017 Spotlight: Linear Convergence of a Frank-Wolfe Type Algorithm over Trace-Norm Balls »
Zeyuan Allen-Zhu · Elad Hazan · Wei Hu · Yuanzhi Li -
2016 Poster: Optimal Black-Box Reductions Between Optimization Objectives »
Zeyuan Allen-Zhu · Elad Hazan -
2016 Poster: A Non-generative Framework and Convex Relaxations for Unsupervised Learning »
Elad Hazan · Tengyu Ma -
2016 Poster: The Limits of Learning with Missing Data »
Brian Bullins · Elad Hazan · Tomer Koren -
2015 Poster: Online Learning for Adversaries with Memory: Price of Past Mistakes »
Oren Anava · Elad Hazan · Shie Mannor -
2015 Poster: Beyond Convexity: Stochastic Quasi-Convex Optimization »
Elad Hazan · Kfir Y. Levy · Shai Shalev-Shwartz -
2015 Poster: Online Gradient Boosting »
Alina Beygelzimer · Elad Hazan · Satyen Kale · Haipeng Luo -
2009 Poster: On Stochastic and Worst-case Models for Investing »
Elad Hazan · Satyen Kale -
2009 Oral: On Stochastic and Worst-case Models for Investing »
Elad Hazan · Satyen Kale -
2009 Poster: An Efficient Interior-Point Method for Minimum-Regret Learning in Online Convex Optimization »
Elad Hazan · Nimrod Megiddo -
2009 Spotlight: An Efficient Interior-Point Method for Minimum-Regret Learning in Online Convex Optimization »
Elad Hazan · Nimrod Megiddo -
2009 Poster: Beyond Convexity: Online Submodular Minimization »
Elad Hazan · Satyen Kale -
2007 Oral: Adaptive Online Gradient Descent »
Peter Bartlett · Elad Hazan · Sasha Rakhlin -
2007 Poster: Adaptive Online Gradient Descent »
Peter Bartlett · Elad Hazan · Sasha Rakhlin -
2007 Poster: Computational Equivalence of Fixed Points and No Regret Algorithms, and Convergence to Equilibria »
Elad Hazan · Satyen Kale
