Optimal Covariance Control for Stochastic Systems Under Chance Constraints

• DOI: 10.48550/arxiv.1804.02829
• Publication Date: 2018-01-01
• Authors: Kazuhide Okamoto; M. N. Gol'dshtein; Panagiotis Tsiotras
• Keywords: Stochastic control

This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a steer system state Gaussian distribution another while minimizing cost function. To best of our knowledge, problems have never been discussed with probabilistic constraints although it natural extension. In this work, first we show that, unlike case no constraints, cannot decouple mean and sub-problems. Then propose an approach solve by converting semidefinite programming problem. The proposed algorithm verified using two simple numerical simulations.