  We use an optimal control protocol to cool one mode of the center of mass
motion of an optically levitated nanoparticle. The feedback technique relies on
exerting a Coulomb force on a charged particle with a pair of electrodes and
follows the control law of a linear quadratic regulator, whose gains are
optimized by a machine learning algorithm in under 5 s. With a simpler and more
robust setup than optical feedback schemes, we achieve a minimum center of mass
temperature of 5 mK at $3\times 10^{-7}$ mbar and transients 10 to 600 times
faster than cold damping. This cooling technique can be easily extended to 3D
cooling and is particularly relevant for studies demanding high repetition
rates and force sensing experiments with levitated objects.
