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We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk measurement related optimization problem is robust, which we call…

Risk Management · Quantitative Finance 2021-02-12 Paul Embrechts , Alexander Schied , Ruodu Wang

Optimal control under uncertainty is a prevailing challenge for many reasons. One of the critical difficulties lies in producing tractable solutions for the underlying stochastic optimization problem. We show how advanced approximate…

Machine Learning · Computer Science 2024-10-28 Joe Watson , Hany Abdulsamad , Rolf Findeisen , Jan Peters

We consider control of uncertain linear time-varying stochastic systems from the perspective of regret minimization. Specifically, we focus on the problem of designing a feedback controller that minimizes the loss relative to a clairvoyant…

Systems and Control · Electrical Eng. & Systems 2024-07-04 Andrea Martin , Luca Furieri , Florian Dörfler , John Lygeros , Giancarlo Ferrari-Trecate

Conventional robust H2/H-infinity control minimizes the worst-case performance, often leading to a conservative design driven by very rare parametric configurations. To reduce this conservatism while taking advantage of the stochastic…

Systems and Control · Electrical Eng. & Systems 2026-04-09 Ervan Kassarian , Francesco Sanfedino , Daniel Alazard , Andrea Marrazza

Optimal control of closed quantum systems is a well studied geometrically elegant set of computational theory and techniques that have proven pivotal in the implementation and understanding of quantum computers. The design of a circuit…

Quantum Physics · Physics 2024-04-29 Johannes Aspman , Vyacheslav Kungurtsev , Jakub Marecek

Safety in dynamic systems with prevalent uncertainties is crucial. Current robust safe controllers, designed primarily for uni-modal uncertainties, may be either overly conservative or unsafe when handling multi-modal uncertainties. To…

Robotics · Computer Science 2023-10-02 Tianhao Wei , Liqian Ma , Ravi Pandya , Changliu Liu

A policy is said to be robust if it maximizes the reward while considering a bad, or even adversarial, model. In this work we formalize two new criteria of robustness to action uncertainty. Specifically, we consider two scenarios in which…

Machine Learning · Computer Science 2019-05-08 Chen Tessler , Yonathan Efroni , Shie Mannor

In safety-critical deep learning applications, robustness measures the ability of neural models that handle imperceptible perturbations in input data, which may lead to potential safety hazards. Existing pre-deployment robustness assessment…

Machine Learning · Computer Science 2025-08-27 Wenchuan Mu , Kwan Hui Lim

Testing is essential for verifying and validating control designs, especially in safety-critical applications. In particular, the control system governing an automated driving vehicle must be proven reliable enough for its acceptance on the…

Systems and Control · Electrical Eng. & Systems 2023-09-11 Mengjia Zhu , Alberto Bemporad , Maximilian Kneissl , Hasan Esen

While $\mathcal{H}_\infty$ methods can introduce robustness against worst-case perturbations, their nominal performance under conventional stochastic disturbances is often drastically reduced. Though this fundamental tradeoff between…

Systems and Control · Electrical Eng. & Systems 2023-05-29 Bruce D. Lee , Thomas T. C. K. Zhang , Hamed Hassani , Nikolai Matni

In practical optimization problems, we typically model uncertainty as a random variable though its true probability distribution is unobservable to the decision maker. Historical data provides some information of this distribution that we…

Optimization and Control · Mathematics 2025-01-28 Arjun Ramachandra , Napat Rujeerapaiboon , Melvyn Sim

We consider the problem of robust and adaptive model predictive control (MPC) of a linear system, with unknown parameters that are learned along the way (adaptive), in a critical setting where failures must be prevented (robust). This…

Machine Learning · Computer Science 2020-10-22 Edouard Leurent , Denis Efimov , Odalric-Ambrym Maillard

The importance of feedback control is being increasingly appreciated in quantum physics and applications. This paper describes the use of optimal control methods in the design of quantum feedback control systems, and in particular the paper…

Quantum Physics · Physics 2009-11-10 M. R. James

In this paper, we study the robust optimal investment and risk control problem for an insurer who owns the insider information about the financial market and the insurance market under model uncertainty. Both financial risky asset process…

Numerical Analysis · Mathematics 2022-07-15 Chao Yu , Yuhan Cheng , Yilun Song

In this paper we prove the existence of a fundamental trade-off between accuracy and robustness in perception-based control, where control decisions rely solely on data-driven, and often incompletely trained, perception maps. In particular,…

Optimization and Control · Mathematics 2020-03-18 Abed AlRahman Al Makdah , Vaibhav Katewa , Fabio Pasqualetti

Training machine learning models that are robust against adversarial inputs poses seemingly insurmountable challenges. To better understand adversarial robustness, we consider the underlying problem of learning robust representations. We…

Machine Learning · Computer Science 2020-07-07 Sicheng Zhu , Xiao Zhang , David Evans

Controller design faces a trade-off between robustness and performance, and the reliability of linear controllers has caused many practitioners to focus on the former. However, there is renewed interest in improving system performance to…

Optimization and Control · Mathematics 2012-08-07 Anil Aswani , Humberto Gonzalez , S. Shankar Sastry , Claire Tomlin

This technical report considers worst-case robustness analysis of a network of locally controlled uncertain systems with uncertain parameter vectors belonging to the ellipsoid sets found by identification procedures. In order to deal with…

Systems and Control · Computer Science 2018-07-02 Anton Korniienko , Xavier Bombois , Hakan Hjalmarsson , Gérard Scorletti

Formal reasoning on the safety of controller systems interacting with plants is complex because developers need to specify behavior while taking into account perceptual uncertainty. To address this, we propose an automated workflow that…

Software Engineering · Computer Science 2021-08-18 Tsutomu Kobayashi , Rick Salay , Ichiro Hasuo , Krzysztof Czarnecki , Fuyuki Ishikawa , Shin-ya Katsumata

Reinforcement learning (RL) agents need to be robust to variations in safety-critical environments. While system identification methods provide a way to infer the variation from online experience, they can fail in settings where fast…

Machine Learning · Computer Science 2022-03-07 Annie Xie , Shagun Sodhani , Chelsea Finn , Joelle Pineau , Amy Zhang
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