Sampled-Data Wasserstein Distributionally Robust Control of Multiplicative Systems: A Convex Relaxation with Performance Guarantees
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arXiv
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| Formato: | Preprint |
| Publicado: |
2026
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| _version_ | 1866912875280334848 |
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| author | Hsieh, Chung-Han |
| author_facet | Hsieh, Chung-Han |
| contents | This paper investigates the robust optimal control of sampled-data stochastic systems with multiplicative noise and distributional ambiguity. We consider a class of discrete-time optimal control problems where the controller \emph{jointly} selects a feedback policy and a sampling period to maximize the worst-case expected concave utility of the inter-sample growth factor. Modeling uncertainty via a Wasserstein ambiguity set, we confront the structural obstacle of~``concave-max'' geometry arising from maximizing a concave utility against an adversarial distribution. Unlike standard convex loss minimization, the dual reformulation here requires a minimax interchange within the semi-infinite constraints, where the utility's concavity precludes exact strong duality. To address this, we utilize a general minimax inequality to derive a tractable convex relaxation. Our approach yields a rigorous lower bound that functions as a probabilistic performance guarantee. We establish an explicit, non-asymptotic bound on the resulting duality gap, proving that the approximation error is uniformly controlled by the Lipschitz-smoothness of the stage reward and the diameter of the disturbance support. Furthermore, we introduce necessary and sufficient conditions for \emph{robust viability}, ensuring state positivity invariance across the entire ambiguity set. Finally, we bridge the gap between static optimization and dynamic performance, proving that the optimal value of the relaxation serves as a rigorous deterministic floor for the asymptotic average utility rate almost surely. The framework is illustrated on a log-optimal portfolio control problem, which serves as a canonical instance of multiplicative stochastic control. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2602_04219 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Sampled-Data Wasserstein Distributionally Robust Control of Multiplicative Systems: A Convex Relaxation with Performance Guarantees Hsieh, Chung-Han Optimization and Control Systems and Control Portfolio Management 93E20, 93C57, 90C47, 90C34, 93C28, 91G10 This paper investigates the robust optimal control of sampled-data stochastic systems with multiplicative noise and distributional ambiguity. We consider a class of discrete-time optimal control problems where the controller \emph{jointly} selects a feedback policy and a sampling period to maximize the worst-case expected concave utility of the inter-sample growth factor. Modeling uncertainty via a Wasserstein ambiguity set, we confront the structural obstacle of~``concave-max'' geometry arising from maximizing a concave utility against an adversarial distribution. Unlike standard convex loss minimization, the dual reformulation here requires a minimax interchange within the semi-infinite constraints, where the utility's concavity precludes exact strong duality. To address this, we utilize a general minimax inequality to derive a tractable convex relaxation. Our approach yields a rigorous lower bound that functions as a probabilistic performance guarantee. We establish an explicit, non-asymptotic bound on the resulting duality gap, proving that the approximation error is uniformly controlled by the Lipschitz-smoothness of the stage reward and the diameter of the disturbance support. Furthermore, we introduce necessary and sufficient conditions for \emph{robust viability}, ensuring state positivity invariance across the entire ambiguity set. Finally, we bridge the gap between static optimization and dynamic performance, proving that the optimal value of the relaxation serves as a rigorous deterministic floor for the asymptotic average utility rate almost surely. The framework is illustrated on a log-optimal portfolio control problem, which serves as a canonical instance of multiplicative stochastic control. |
| title | Sampled-Data Wasserstein Distributionally Robust Control of Multiplicative Systems: A Convex Relaxation with Performance Guarantees |
| topic | Optimization and Control Systems and Control Portfolio Management 93E20, 93C57, 90C47, 90C34, 93C28, 91G10 |
| url | https://arxiv.org/abs/2602.04219 |