Model learning combined with dynamic programming has been shown to be effective for learning control of continuous state dynamic systems. The simplest method assumes the learned model is correct and applies dynamic programming to it, but many approximators provide uncertainty estimates on the fit. How can they be exploited? This paper addresses the case where the system must be prevented from having catastrophic failures dur(cid:173) ing learning. We propose a new algorithm adapted from the dual control literature and use Bayesian locally weighted regression models with dy(cid:173) namic programming. A common reinforcement learning assumption is that aggressive exploration should be encouraged. This paper addresses the con(cid:173) verse case in which the system has to reign in exploration. The algorithm is illustrated on a 4 dimensional simulated control problem.