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math.OC2026
An Accelerated Proximal Gradient Method for Bures-Wasserstein Space
Jakob Nylöf, Sloan Nietert, Julien Pallage +3
We study composite optimization over the Bures--Wasserstein (BW) space of Gaussian measures. Our main observation is that a useful class of BW problems can be lifted into the Eucli…
math.OC2026
Optimality of Affine Policies in Distributionally Robust Linear-Quadratic Control with Temporally Correlated Noise
Jakob Nylöf, Daniel Kuhn, John Lygeros +1
We study finite-horizon distributionally robust linear-quadratic control with disturbances that can be arbitrarily correlated in time. The ambiguity set is modeled as a single 2-Wa…