Convex Optimization for Finite-Horizon Robust Covariance Control of Linear Stochastic Systems
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Publication:5145606
DOI10.1137/20M135090XzbMATH Open1496.90048arXiv2007.00132OpenAlexW3120877630MaRDI QIDQ5145606FDOQ5145606
Authors: Georgios Kotsalis, Guanghui Lan, 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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Cited In (7)
- Constrained minimum variance and covariance steering based on affine disturbance feedback control parameterization
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- Finite-horizon covariance control for discrete-time stochastic linear systems subject to input constraints
- Convexity and convex approximations of discrete-time stochastic control problems with constraints
- Tight computationally efficient approximation of matrix norms with applications
- Robust input covariance constraint control for uncertain polytopic systems
- Alternating convex projection methods for covariance control design
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