Yu-Long Gao

ExactVariance of Random Return in Distributional LQR and Its Application to Mean-Variance Optimal Control

The classical linear quadratic regulator (LQR) minimizes the expected cumulative return but fails to account for performance variability, rendering it inadequate for risk-aware applications. To address this, we introduce the variance of the cumulative return as a risk measure in LQR. We derive the first exact closed-fo...