1 citations · 1 across the 4 of their papers we have counts for
5 papers
Distributionally Robust LQG with Kullback-Leibler Ambiguity Sets
Marta Fochesato, Lucia Falconi, Mattia Zorzi +2
The Linear Quadratic Gaussian (LQG) controller is known to be inherently fragile to model misspecifications common in real-world situations. We consider discrete-time partially obs…
Distributionally Robust LQG control under Distributed Uncertainty
Lucia Falconi, Augusto Ferrante, Mattia Zorzi
A new paradigm is proposed for the robustification of the LQG controller against distributional uncertainties on the noise process. Our controller optimizes the closed-loop perform…
Hidden Factor estimation in Dynamic Generalized Factor Analysis Models
Giorgio Picci, Lucia Falconi, Augusto Ferrante +1
This paper deals with the estimation of the hidden factor in Dynamic Generalized Factor Analysis via a generalization of Kalman filtering. Asymptotic consistency is discussed and i…
Mean-square consistency of the -truncated -periodogram
Lucia Falconi, Augusto Ferrante, Mattia Zorzi
The paper deals with the problem of estimating the M (i.e. multivariate and multidimensional) spectral density function of a stationary random process or random field. We propo…
Learning AR factor models
Francesca Crescente, Lucia Falconi, Federica Rozzi +2
We face the factor analysis problem using a particular class of auto-regressive processes. We propose an approximate moment matching approach to estimate the number of factors as w…