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math.OC2025
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…
math.OC2020
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…