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Uncertainty in Uncertainty and Rockafellian Relaxation

Presenter
April 15, 2026
Abstract
Uncertainty in physical systems is modeled with random variables, however, in practice there may be some nontrivial ambiguity in the underlying probability distribution from which they are sampled. As stochastic optimal control problems are known to be ill-conditioned to perturbations in the sampling distribution, we describe an analytic framework that is better conditioned to such “meta-uncertainties” and conclude with numerical examples.
Supplementary Materials