Výsledky vyhledávání - "Iancu, Dan A."

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Distributionally Robust Linear Quadratic Control

Autor: Taşkesen, Bahar, Iancu, Dan A., Koçyiğit, Çağıl, Kuhn, Daniel

Linear-Quadratic-Gaussian (LQG) control is a fundamental control paradigm that is studied in various fields such as engineering, computer science, economics, and neuroscience. It involves controlling a system with linear dynamics and imperfect observ

Externí odkaz: http://arxiv.org/abs/2305.17037

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Tight Approximations of Dynamic Risk Measures

Autor: Iancu, Dan A., Petrik, Marek, Subramanian, Dharmashankar

This paper compares two different frameworks recently introduced in the literature for measuring risk in a multi-period setting. The first corresponds to applying a single coherent risk measure to the cumulative future costs, while the second involve

Externí odkaz: http://arxiv.org/abs/1106.6102

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Optimality of Affine Policies in Multi-stage Robust Optimization

Autor: Bertsimas, Dimitris, Iancu, Dan A., Parrilo, Pablo A.

Publikováno v: Mathematics of Operations Research, Vol. 35, No. 2, May 2010, pp. 363-394

In this paper, we show the optimality of a certain class of disturbance-affine control policies in the context of one-dimensional, constrained, multi-stage robust optimization. Our results cover the finite horizon case, with minimax (worst-case) obje

Externí odkaz: http://arxiv.org/abs/0904.3986

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