English

Distributionally robust stochastic optimal control

Optimization and Control 2024-10-15 v2
Authors: Alexander Shapiro , Yan Li
View on arXiv ↗ PDF ↗

Abstract

The main goal of this paper is to discuss the construction of distributionally robust counterparts of stochastic optimal control problems. Randomized and non-randomized policies are considered. In particular, necessary and sufficient conditions for the existence of non-randomized policies are given.

Keywords

stochastic control distributionally robust optimization optimal control

Cite

@article{arxiv.2406.05648,
  title  = {Distributionally robust stochastic optimal control},
  author = {Alexander Shapiro and Yan Li},
  journal= {arXiv preprint arXiv:2406.05648},
  year   = {2024}
}

Related papers

View all related →
Optimization and Control · Mathematics
Constrained Optimal Synthesis and Robustness Analysis by Randomized Algorithms
Xinjia Chen, Kemin Zhou
2008-05-13
Systems and Control · Electrical Eng. & Systems
Distributionally Robust Control with Constraints on Linear Unidimensional Projections
Alexandros E. Tzikas, Lukas Fiechtner, Arec Jamgochian, Mykel J. Kochenderfer
2025-08-12
Systems and Control · Electrical Eng. & Systems
Distributionally robust uncertainty quantification via data-driven stochastic optimal control
Guanru Pan, Timm Faulwasser
2023-06-30
Optimization and Control · Mathematics
A robust optimal control problem with moment constraints on distribution: theoretical analysis and an algorithm
Jianxiong Ye, Lei Wang, Changzhi Wu, Jie Sun +2
2016-11-29
Optimization and Control · Mathematics
Correctness of the optimal control problems for distributed parameter systems (survey)
A. A. Niftiyev
2007-05-23
Systems and Control · Electrical Eng. & Systems
Distributionally Robust Control Synthesis for Stochastic Systems with Safety and Reach-Avoid Specifications
Yu Chen, Yuda Li, Shaoyuan Li, Xiang Yin
2025-11-04
Robotics · Computer Science
Scaling Robust Optimization for Multi-Agent Robotic Systems: A Distributed Perspective
Arshiya Taj Abdul, Augustinos D. Saravanos, Evangelos A. Theodorou
2025-01-31
Optimization and Control · Mathematics
Stochastic Optimal Control With Dynamic, Time-Consistent Risk Constraints
Yin-Lam Chow, Marco Pavone
2015-11-24
Optimization and Control · Mathematics
Distributionally Robust Infinite-horizon Control: from a pool of samples to the design of dependable controllers
Jean-Sébastien Brouillon, Andrea Martin, John Lygeros, Florian Dörfler +1
2024-07-15
Optimization and Control · Mathematics
Stochastic Control with Distributionally Robust Constraints for Cyber-Physical Systems Vulnerable to Attacks
Nishanth Venkatesh, Aditya Dave, Ioannis Faros, Andreas A. Malikopoulos
2024-07-18
Systems and Control · Computer Science
Robust Distributed Control Beyond Quadratic Invariance
Luca Furieri, Maryam Kamgarpour
2019-09-26
Optimization and Control · Mathematics
Distributionally robust possibilistic optimization problems
Romain Guillaume, Adam Kasperski, Pawel Zielinski
2021-11-30
Systems and Control · Electrical Eng. & Systems
Distributional Robustness Regularized Scenario Optimization with Application to Model Predictive Control
Yassine Nemmour, Bernhard Schölkopf, Jia-Jie Zhu
2021-10-27
Systems and Control · Electrical Eng. & Systems
Distributionally Robust Optimal and Safe Control of Stochastic Systems via Kernel Conditional Mean Embedding
Licio Romao, Ashish R. Hota, Alessandro Abate
2023-12-20
Optimization and Control · Mathematics
Risk-averse formulations of Stochastic Optimal Control and Markov Decision Processes
Alexander Shapiro, Yan Li
2025-05-23
Optimization and Control · Mathematics
Optimal Distributed and Tangential Boundary Control for the Unsteady Stochastic Stokes Equations
Peter Benner, Christoph Trautwein
2018-09-05
Optimization and Control · Mathematics
A dynamic game approach to distributionally robust safety specifications for stochastic systems
Insoon Yang
2018-10-05
Optimization and Control · Mathematics
First and second order necessary conditions for stochastic optimal controls
Hélène Frankowska, Haisen Zhang, Xu Zhang
2016-11-09
Systems and Control · Electrical Eng. & Systems
Coalitional predictive control: consensus-based coalition forming with robust regulation
Pablo R Baldivieso-Monasterios, Paul A Trodden
2020-01-29
Systems and Control · Computer Science
Distributionally Robust Counterpart in Markov Decision Processes
Pengqian Yu, Huan Xu
2015-05-14
Optimization and Control · Mathematics
A Mini-Course on Stochastic Control
Qi Lu, Xu Zhang
2016-12-09
Systems and Control · Computer Science
Approximate Robust Control of Uncertain Dynamical Systems
Edouard Leurent, Yann Blanco, Denis Efimov, Odalric-Ambrym Maillard
2019-03-04
Optimization and Control · Mathematics
Deterministic Optimal Control of Ito Stochastic Systems with Random Coefficients
Hongdan Li, Juanjuan Xu, Huanshui Zhang
2019-03-05
Optimization and Control · Mathematics
Stochastic optimization with decision-dependent distributions
Dmitriy Drusvyatskiy, Lin Xiao
2020-12-15
Systems and Control · Electrical Eng. & Systems
Distributionally Robust Control for Chance-Constrained Signal Temporal Logic Specifications
Arash Bahari Kordabad, Eleftherios E. Vlahakis, Lars Lindemann, Dimos V. Dimarogonas +1
2024-09-09
R2 v1 2026-06-28T16:58:31.634Z