Distributional Robustness in Minimax Linear Quadratic Control with Wasserstein Distance

DOI10.1137/22M1494105MaRDI QIDQ5883161zbMATH OpenFDO

Authors Ki Hyun Kim, Insoon Yang

Publication date 29 March 2023

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2102.12715

zbMATH Keywords

discrete-time systemslinear systemsstochastic optimal controldistributional robustness

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Linear optimal control problems (49N05)

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Cites work

• A dynamic game approach to distributionally robust safety specifications for stochastic systems
• An implicit restarted Lanczos method for large symmetric eigenvalue problems
• Data-Driven Ambiguity Sets With Probabilistic Guarantees for Dynamic Processes
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Distributionally Robust Control of Constrained Stochastic Systems
• Dynamic programming and optimal control. Vol. 1.
• Dynamic programming and optimal control. Vol. 2
• Dynamic programming subject to total variation distance ambiguity
• Gaussian elimination is not optimal
• Methods of conjugate gradients for solving linear systems
• Minimax LQG Control of Stochastic Partially Observed Uncertain Systems
• Minimax optimal control of stochastic uncertain systems with relative entropy constraints
• On the numerical solution of the discrete-time algebraic Riccati equation
• On the rate of convergence in Wasserstein distance of the empirical measure
• Optimal control
• The principle of minimized iterations in the solution of the matrix eigenvalue problem
• Wasserstein Distributionally Robust Stochastic Control: A Data-Driven Approach

Cited in

(3)

• Wasserstein Distributionally Robust Stochastic Control: A Data-Driven Approach
• Minimax Q-learning control for linear systems using the Wasserstein metric
• Distributional robustness in minimax linear quadratic control with Wasserstein distance

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