Minimax Optimal Adaptive Control for Systems on Cones

Abstract: The theory of optimal control on positive cones has recently identified several new problem classes where the Bellman equation can be solved explicitly, in analogy with classical linear quadratic control. In this paper, the idea is extended to minimax adaptive control, yielding exact solutions to instances of the Bellman equation for dual control. In particular, this allows for optimization of the fundamental tradeoff between exploration and exploitation.