The anterior cingulate and lateral prefrontal cortices have been implicated in implementing context-appropriate attentional control, but the learning mechanisms underlying our ability to flexibly adapt the control settings to changing environments remain poorly understood. Here we show that human adjustments to varying control demands are captured by a reinforcement learner with a flexible, volatility-driven learning rate. Using model-based functional magnetic resonance imaging, we demonstrate that volatility of control demand is estimated by the anterior insula, which in turn optimizes the prediction of forthcoming demand in the caudate nucleus. The caudate's prediction of control demand subsequently guides the implementation of proactive and reactive attentional control in dorsal anterior cingulate and dorsolateral prefrontal cortices. These data enhance our understanding of the neuro-computational mechanisms of adaptive behaviour by connecting the classic cingulate-prefrontal cognitive control network to a subcortical control-learning mechanism that infers future demands by flexibly integrating remote and recent past experiences.