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README.md
distributionRegret.ipynb
multivariate_laplace.py
README.md

Regret for Unknown Distribution

Description

This code explains the regret incurred by a controller for hedging against the worst-case distributions of the uncertainties instead of the true distributions of the uncertainties.

Associated Paper

V. Renganathan et al, ``Regret analysis sis for Risk-aware Linear Quadratic Control'', Submitted to L4DC 2023.

Dependencies To Run The Code

CVXPY is needed for running the code. Interested reader should install the CVXPY python package. Apart fron that the multivariate Laplacian distribution implementation given in the code is obtained from an open source.

Authors and acknowledgment

Venkatraman Renganathan did all the work of conceiving the idea, writing the paper, coding the example and analysing the results. He was helped by Dongjun Wu through initial writing, fruitful discussions and Dr. Bo Bernhardsson with excellent suggestions and criticism.

License

MIT License:

@author: Venkatraman Renganathan Department of Automatic Control - LTH,
Lund University, Sweden

Copyright (c) 2022, Venkatraman Renganathan Email: venkatraman.renganathan@control.lth.se

Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify,
merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions:

The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.

THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.