Nonlinear Covariance Control via Differential Dynamic Programming

• Published in: arXiv.org
• Main Authors: Zeji Yi, Cao, Zhefeng, Theodorou, Evangelos, Chen, Yongxin
• Format: Paper
• Language: English
• Published: Ithaca Cornell University Library, arXiv.org 21.11.2019
• Subjects: Algorithms; Control systems; Covariance; Dynamic programming; Linear systems; Nonlinear control; Nonlinear systems; Optimal control; Stochastic systems

We consider covariance control problems for nonlinear stochastic systems. Our objective is to find an optimal control strategy to steer the state from an initial distribution to a terminal one with specified mean and covariance. This problem is considerably more complicated than previous studies on...