1 code implementation • 16 May 2023 • Astghik Hakobyan, Insoon Yang
To achieve this, we use the Kantrovich duality principle to decompose the value function in a novel way and derive closed-form expressions of the distributionally robust control and worst-case distribution policies to be used in each iteration of our DDP algorithm.
no code implementations • 9 Dec 2022 • Astghik Hakobyan, Insoon Yang
Distributionally robust control (DRC) aims to effectively manage distributional ambiguity in stochastic systems.
no code implementations • 31 Mar 2022 • Astghik Hakobyan, Insoon Yang
The key idea is to reformulate the WDRC problem as a novel minimax control problem with an approximate Wasserstein penalty.
