  Optimal control theory and machine learning techniques are combined to
formulate and solve in closed form an optimal control formulation of online
learning from supervised examples with regularization of the updates. The
connections with the classical Linear Quadratic Gaussian (LQG) optimal control
problem, of which the proposed learning paradigm is a non-trivial variation as
it involves random matrices, are investigated. The obtained optimal solutions
are compared with the Kalman-filter estimate of the parameter vector to be
learned. It is shown that the proposed algorithm is less sensitive to outliers
with respect to the Kalman estimate (thanks to the presence of the
regularization term), thus providing smoother estimates with respect to time.
The basic formulation of the proposed online-learning framework refers to a
discrete-time setting with a finite learning horizon and a linear model.
Various extensions are investigated, including the infinite learning horizon
and, via the so-called "kernel trick", the case of nonlinear models.

Optimization and Control