Regret Analysis of Learning-Based Linear Quadratic Gaussian Control with Additive Exploration
In this paper, we analyze the regret incurred by a computationally efficient exploration strategy, known as naive exploration, for controlling unknown partially observable systems within the Linear Quadratic Gaussian (LQG) framework. We introduce a two-phase control algorithm called LQG-NAIVE, which involves an initial phase of injecting Gaussian input signals to obtain a system model, followed by a second phase of an interplay between naive exploration and control in an episodic fashion. We show that LQG-NAIVE achieves a regret growth rate of $\tilde{\mathcal{O}}(\sqrt{T})$, i.e., $\mathcal{O}(\sqrt{T})$ up to logarithmic factors after $T$ time steps, and we validate its performance through numerical simulations. Additionally, we propose LQG-IF2E, which extends the exploration signal to a `closed-loop' setting by incorporating the Fisher Information Matrix (FIM). We provide compelling numerical evidence of the competitive performance of LQG-IF2E compared to LQG-NAIVE.
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