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ISS Informal Systems Seminar

Relative Almost Sure Regret Bounds for Certainty Equivalence Control of Markov Jump Systems


Apr 24, 2024   02:00 PM — 03:00 PM

Borna Sayedana McGill University, Canada

Borna Sayedana

** Hybrid seminar at McGill University or Zoom.**

In this talk, we consider the learning and control problem for unknown Markov jump linear systems (MJLS) with perfect state observations. We propose a certainty equivalence-based learning algorithm and show that this algorithm achieves a regret of O(\sqrt{T} log(T)) relative to a certain subset of the sample space. As part of our analysis, we propose a switched least squares method for the identification of MJLS, show that this method is strongly consistent, and derive data-dependent and data-independent rates of convergence. These results show that certainty equivalence control along with the switched least squares method for MJLS has the same rate of convergence as the certainty equivalence control method for linear systems.

Peter E. Caines organizer
Aditya Mahajan organizer
Shuang Gao organizer
Borna Sayedana organizer
Alex Dunyak organizer


Room MC 437
McConnell Building
McGill University
3480, rue University
Montréal QC H3A 0E9

Associated organization

Centre for intelligent machines (CIM)

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