Convex Optimization for Finite-Horizon Robust Covariance Control of Linear Stochastic Systems
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Publication:5145606
Abstract: This work addresses the finite-horizon robust covariance control problem for discrete-time, partially observable, linear system affected by random zero mean noise and deterministic but unknown disturbances restricted to lie in what is called ellitopic uncertainty set (e.g., finite intersection of centered at the origin ellipsoids/elliptic cylinders). Performance specifications are imposed on the random state-control trajectory via averaged convex quadratic inequalities, linear inequalities on the mean, as well as pre-specified upper bounds on the covariance matrix. For this problem we develop a computationally tractable procedure for designing affine control policies, in the sense that the parameters of the policy that guarantees the aforementioned performance specifications are obtained as solutions to an explicit convex program. Our theoretical findings are illustrated by a numerical example.
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Cited in
(7)- Alternating convex projection methods for covariance control design
- Robust input covariance constraint control for uncertain polytopic systems
- Constrained minimum variance and covariance steering based on affine disturbance feedback control parameterization
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- Convexity and convex approximations of discrete-time stochastic control problems with constraints
- Finite-horizon covariance control for discrete-time stochastic linear systems subject to input constraints
- Tight computationally efficient approximation of matrix norms with applications
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