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Author

Daniel Kuhn

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Preprint Sep 2026

Optimality of Affine Policies in Distributionally Robust Linear-Quadratic Control with Temporally Correlated Noise

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-Wasserstein ball centered at a nominal elliptically contoured distribution of the disturbances. Despite the infinite-dimensionality of both th...

Jakob Nylof, Daniel Kuhn, John Lygeros et al. · 1 citation

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