Optimal Covariance Control for Stochastic Systems Under Chance Constraints

• Published in: IEEE control systems letters Vol. 2; no. 2; pp. 266 - 271
• Main Authors: Okamoto, Kazuhide, Goldshtein, Maxim, Tsiotras, Panagiotis
• Format: Journal Article
• Language: English
• Published: IEEE 01.04.2018
• Subjects: Boundary conditions; Gaussian distribution; Linear programming; Linear systems; Optimal control; Optimization; stochastic optimal control; Stochastic systems; uncertain systems

This letter addresses the optimal covariance control problem for stochastic discrete-time linear systems subject to chance constraints. To the best of our knowledge, covariance steering problems with probabilistic chance constraints have not been discussed previously in the literature, although thei...