Distributionally robust stochastic optimal control

2024/06/09 by Alexander Shapiro, Yan Li, Shapiro, Alexander +1 · 2 citations
Engineering · #Advanced Control Systems Optimization #FOS: Mathematics #Optimization and Control (math.OC)

paper · pdf · doi:10.48550/arxiv.2406.05648

openalex publication_date 2024/06/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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