Dual Control: On Exploration–Exploitation in Linear Systems

MATLAB code for the numerical case studies in

T. J. Meijer and A. Rantzer, "Dual Control: On Exploration–Exploitation in Linear Systems," Annual Review of Control, Robotics, and Autonomous Systems, vol. 10, 2027.

See the paper for details.

Requires Manopt (http://manopt.org/).

Run Main.m. It simulates the three controllers and plots the results (Figure 4 of the paper). The model, noise type and parameters are set at the top of the file.

• Main.m: simulation and plotting (entry point)
• wRLS_CE_LQR.m: weighted recursive least squares CE-LQR
• CEC.m: regret rate minimizing certainty-equivalence controller
• Minimax.m: minimax optimal dual controller
• dependencies/: helper functions

@article{meijer2027dual,
  title   = {Dual Control: On Exploration--Exploitation in Linear Systems},
  author  = {T.J.~{Meijer} and A.~{Rantzer}},
  journal = {Annual Review of Control, Robotics, and Autonomous Systems},
  volume  = {10},
  pages   = {1--26},
  year    = {2027}
}

Tomas J. Meijer (tomas.meijer@control.lth.se) and Anders Rantzer, Department of Automatic Control, Lund University. Released under the MIT License.