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Distributionally Robust Regret Optimal LQR with Common Stage-Law Ambiguity

Fiechtner, Lukas-Benedikt et al.
arXiv (All) · Papers
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optimization-and-controlsystems-and-control
We study what is, to our knowledge, the first tractable multistage ex-ante distributionally robust regret optimization (DRRO) formulation for stochastic control. We consider finite-horizon LQR with common stage-law ambiguity, where disturbances are independent across time but drawn from the same unk
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