Distributional Robustness Analysis for Nonlinear Uncertainty Structures

@article{Feng2016DistributionalRA,
  title={Distributional Robustness Analysis for Nonlinear Uncertainty Structures},
  author={Chao Feng and Constantino M. Lagoa},
  journal={IEEE Transactions on Automatic Control},
  year={2016},
  volume={61},
  pages={1900-1905}
}
One of the main objectives of this note is to address the question: what is the worst-case expected value of a continuous function (worst-case performance) over a class of admissible distributions? In this note, the class of symmetric and non-increasing distributions is considered and results are provided for the class of so-called semi-algebraic functions… CONTINUE READING