Risk-Aware Linear-Quadratic Regulation with Temporally Coupled States
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arXiv
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| Autores principales: | , , , |
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| Formato: | Preprint |
| Publicado: |
2026
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| _version_ | 1866918407523270656 |
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| author | Wei, Chuanning Li, Kin Fung Kalogerias, Dionysis Chapman, Margaret P. |
| author_facet | Wei, Chuanning Li, Kin Fung Kalogerias, Dionysis Chapman, Margaret P. |
| contents | We formulate and solve a discrete-time linear-quadratic regulation (LQR) problem in a finite horizon that penalizes temporal variability and stochastic variability of the state trajectory. Our approach enables the user to strike a balance between regulating the state and reducing temporal variability, with explicit sensitivity to risk. We achieve this by extending a risk measure called predictive variance to a setting with temporally coupled states. Numerical examples demonstrate the effect of temporal coupling in both risk-aware and risk-neutral control settings. Particularly, we observe that explicitly penalizing temporal variability alone can also reduce stochastic variability. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_23737 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Risk-Aware Linear-Quadratic Regulation with Temporally Coupled States Wei, Chuanning Li, Kin Fung Kalogerias, Dionysis Chapman, Margaret P. Optimization and Control We formulate and solve a discrete-time linear-quadratic regulation (LQR) problem in a finite horizon that penalizes temporal variability and stochastic variability of the state trajectory. Our approach enables the user to strike a balance between regulating the state and reducing temporal variability, with explicit sensitivity to risk. We achieve this by extending a risk measure called predictive variance to a setting with temporally coupled states. Numerical examples demonstrate the effect of temporal coupling in both risk-aware and risk-neutral control settings. Particularly, we observe that explicitly penalizing temporal variability alone can also reduce stochastic variability. |
| title | Risk-Aware Linear-Quadratic Regulation with Temporally Coupled States |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2603.23737 |