arXiv:2610.35182v1 Announce Type: new Abstract: This paper extends the least-squares and certainty-equivalence minimum-variance framework of classical linear self-tuning regulators to a broad class of nonlinearly parameterized systems with compact parameter spaces, including commonly used deep neural network models. First, historical nonlinear least-squares fitting guarantees are converted into online one-step prediction bounds under a general modulus of continuity, with explicit regret rates under parameter Lipschitz continuity and finite-moment noise. Second, approximate NLS estimation combined with certainty-equivalence control achieves closed-loop stability and asymptotically optimal tracking under mild conditions without requiring excitation or parameter identifiability. Explicit closed-loop regret and tracking error rates are established in the parameter-Lipschitz case, and closed-loop examples show that the regret rates cannot, in general, be improved for this regulator. Finally, robustness to small unmodeled dynamics is established by showing that closed-loop stability is preserved and the tracking error bounds comprise a vanishing term and a residual term determined by the model discrepancy.