Related papers: The Distributionally Robust Infinite-Horizon LQR
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…
We consider the problem of controlling a Linear Quadratic Regulator (LQR) system over a finite horizon $T$ with fixed and known cost matrices $Q,R$, but unknown and non-stationary dynamics $\{A_t, B_t\}$. The sequence of dynamics matrices…
This monograph develops a comprehensive statistical learning framework that is robust to (distributional) perturbations in the data using Distributionally Robust Optimization (DRO) under the Wasserstein metric. Beginning with fundamental…
We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution,…
This paper studies data-driven distributionally robust bottleneck combinatorial problems (DRBCP) with stochastic costs, where the probability distribution of the cost vector is contained in a ball of distributions centered at the empirical…
Distributional reinforcement learning (DRL) enhances the understanding of the effects of the randomness in the environment by letting agents learn the distribution of a random return, rather than its expected value as in standard RL. At the…
We propose a new risk-constrained reformulation of the standard Linear Quadratic Regulator (LQR) problem. Our framework is motivated by the fact that the classical (risk-neutral) LQR controller, although optimal in expectation, might be…
We study model-free learning methods for the output-feedback Linear Quadratic (LQ) control problem in finite-horizon subject to subspace constraints on the control policy. Subspace constraints naturally arise in the field of distributed…
Distributional reinforcement learning (DRL) enhances the understanding of the effects of the randomness in the environment by letting agents learn the distribution of a random return, rather than its expected value as in standard…
End-to-end engineering design pipelines, in which designs are evaluated using concurrently defined optimal controllers, are becoming increasingly common in practice. To discover designs that perform well even under the misspecification of…
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…
This paper studies an infinite horizon optimal control problem for discrete-time linear system and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. In this general…
Classical stochastic control assumes perfect knowledge of the uncertainty affecting the plant. In practice, however, such information is often incomplete. To address this limitation, we consider a distributionally robust control (DRC)…
We study distributionally robust optimization (DRO) problems with uncertainty sets consisting of high-dimensional random vectors that are close in the multivariate Wasserstein distance to a reference random vector. We give conditions when…
A new paradigm is proposed for the robustification of the LQG controller against distributional uncertainties on the noise process. Our controller optimizes the closed-loop performances in the worst possible scenario under the constraint…
The integration of various power sources, including renewables and electric vehicles, into smart grids is expanding, introducing uncertainties that can result in issues like voltage imbalances, load fluctuations, and power losses. These…
This paper proposes a distributionally robust approach to logistic regression. We use the Wasserstein distance to construct a ball in the space of probability distributions centered at the uniform distribution on the training samples. If…
Distributionally Robust Optimization (DRO) provides a framework for decision-making under distributional uncertainty, yet its effectiveness can be compromised by outliers in the training data. This paper introduces a principled approach to…
In this article we present a general framework for non-concave robust stochastic control problems under model uncertainty in a discrete time finite horizon setting. Our framework allows to consider a variety of different path-dependent…
Data-driven distributionally robust optimization is a recently emerging paradigm aimed at finding a solution that is driven by sample data but is protected against sampling errors. An increasingly popular approach, known as Wasserstein…