Electrical Engineering and Systems Science > Systems and Control
[Submitted on 8 Jun 2023 (v1), last revised 17 Sep 2024 (this version, v2)]
Title:Distributionally Robust LQG control under Distributed Uncertainty
View PDF HTML (experimental)Abstract: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 that the noise distributional aberrance does not exceed a certain threshold limiting the relative entropy pseudo-distance between the actual noise distribution the nominal one. The main novelty is that the bounds on the distributional aberrance can be arbitrarily distributed along the whole disturbance trajectory. We discuss why this can, in principle, be a substantial advantage and we provide simulation results that substantiate such a principle.
Submission history
From: Lucia Falconi [view email][v1] Thu, 8 Jun 2023 14:24:15 UTC (2,196 KB)
[v2] Tue, 17 Sep 2024 17:19:38 UTC (1,447 KB)
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