5 papers
Regret-Optimal Linear-Quadratic Control under Distributional Drift
Lukas-Benedikt Fiechtner, Jose Blanchet
We study finite-horizon LQR with independent disturbances whose laws may drift over time. We address uncertainty in this evolution through ex-ante distributionally robust regret op…
Strategic Index Reconstitution: Differential Games, Closed-Loop Equilibria and Mean-Field Dynamics
Lukas-Benedikt Fiechtner, Jose Blanchet
We study a continuous-time, multiasset trading game around index reconstitution, in which opportunistic traders have heterogeneous beliefs about the future index constitution and i…
Distributionally Robust Regret Optimal LQR with Common Stage-Law Ambiguity
Lukas-Benedikt Fiechtner, Jose Blanchet
We study what is, to our knowledge, the first tractable multistage ex-ante distributionally robust regret optimization (DRRO) formulation for stochastic control. We consider finite…
Distributionally Robust Control with Constraints on Linear Unidimensional Projections
Alexandros E. Tzikas, Lukas Fiechtner, Arec Jamgochian +1
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control a…
Wasserstein Distributionally Robust Regret Optimization
Lukas-Benedikt Fiechtner, Jose Blanchet
Distributionally robust optimization (DRO) is widely used for decision-making under uncertainty, but its adversarial focus on worst-case loss can lead to overly conservative polici…