2 papers
eess.SY2020
Sample Complexity of Data-Driven Stochastic LQR with Multiplicative Uncertainty
Peter Coppens, Panagiotis Patrinos
This paper studies the sample complexity of the stochastic Linear Quadratic Regulator when applied to systems with multiplicative noise. We assume that the covariance of the noise…
eess.SY2019
Data-driven distributionally robust LQR with multiplicative noise
Peter Coppens, Mathijs Schuurmans, Panagiotis Patrinos
We present a data-driven method for solving the linear quadratic regulator problem for systems with multiplicative disturbances, the distribution of which is only known through sam…