Distributionally robust regret-optimal control for finite-horizon linear-quadratic systems under moment-based ambiguity sets admits an equivalent tractable convex reformulation interpretable as a regularized nominal problem.
Theorem 5LetX∈S n and denote its eigendecomposition byX=Udiag(λ)U ⊤, whereUis an orthonormal matrix
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Distributionally Robust Regret Optimal Control Under Moment-Based Ambiguity Sets
Distributionally robust regret-optimal control for finite-horizon linear-quadratic systems under moment-based ambiguity sets admits an equivalent tractable convex reformulation interpretable as a regularized nominal problem.