Convex Optimization for Finite-Horizon Robust Covariance Control of Linear Stochastic Systems

DOI10.1137/20M135090XzbMATH Open1496.90048arXiv2007.00132OpenAlexW3120877630MaRDI QIDQ5145606FDOQ5145606

Guanghui Lan, Georgios Kotsalis, Arkadi Nemirovski

Publication date: 21 January 2021

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2007.00132

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zbMATH Keywords

convex programmingrobust optimizationmultistage minimax

Mathematics Subject Classification ID

Semidefinite programming (90C22) Minimax problems in mathematical programming (90C47) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30) Numerical methods involving duality (49M29) Robustness in mathematical programming (90C17)

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Cited In (4)

• Constrained minimum variance and covariance steering based on affine disturbance feedback control parameterization
• Title not available (Why is that?)
• Tight computationally efficient approximation of matrix norms with applications
• Alternating convex projection methods for covariance control design

Uses Software

• CVX

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