Risk-Aware LQR with Temporally Coupled States

Abstract

We formulate and solve a discrete-time linear-quadratic regulation (LQR) problem in a finite horizon thatpenalizes temporal variability and stochastic variability of the state trajectory. Our approach enables one to strike a balance between regulating the state and reducing temporal variability, with explicit sensitivity to risk. We achieve this by extending a risk measure called predictive variance to a setting with temporally coupled states. Numerical examples demonstrate the effect of temporal coupling in both risk-aware and risk-neutral control settings.

arXiv commentPreprint submitted to ACC 2027