Minimax optimal dual control -- The single input case
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arXiv
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| Format: | Preprint |
| Published: |
2026
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| _version_ | 1866917430876438528 |
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| author | Rantzer, Anders |
| author_facet | Rantzer, Anders |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_18550 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Minimax optimal dual control -- The single input case Rantzer, Anders Optimization and Control 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. |
| title | Minimax optimal dual control -- The single input case |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2604.18550 |