The multistage DRRO-LQR problem over linear disturbance-feedback policies admits an exact SDP reformulation whose solution is the nominal certainty-equivalent LQR law plus a strictly causal empirical-mean correction.
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Distributionally Robust Regret Optimal LQR with Common Stage-Law Ambiguity
The multistage DRRO-LQR problem over linear disturbance-feedback policies admits an exact SDP reformulation whose solution is the nominal certainty-equivalent LQR law plus a strictly causal empirical-mean correction.