Covariance control for discrete-time stochastic linear systems with incomplete state information
Covariance control for discrete-time stochastic linear systems with incomplete state information
复制标题
状态信息不完整的离散时间随机线性系统的协方差控制
DOI：
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发表时间：
2017
期刊：
影响因子：
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通讯作者：
E. Bakolas
中科院分区：
文献类型：
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作者：
E. Bakolas
研究具有不完全状态信息的离散随机线性系统的有限视界协方差控制问题。我们证明，在假设该随机最优控制问题的可容许控制策略类由非预期（因果）控制律序列组成，这些控制律可以表示为系统过去和现在输出测量的线性组合，那么协方差控制问题可以简化为具有凸性能指标的有限维确定性非线性规划。此外，我们还证明了非线性规划可以通过一种简单的松弛技术与凸规划相关联，该松弛技术允许我们将由终端状态协方差的边界条件引起的非凸矩阵等式约束表示为正半定（凸）约束。
This work deals with a finite-horizon covariance control problem for discrete-time stochastic linear systems with incomplete state information subject to constraints. We show that under the assumption that the class of admissible control policies for this stochastic optimal control problem is comprised of sequences of non-anticipative (causal) control laws that can be expressed as linear combinations of the past and present output measurements of the system, then the covariance control problem can be reduced to a finite-dimensional, deterministic nonlinear program with a convex performance index. In addition, we show that the nonlinear program can be associated with a convex program via a simple relaxation technique that allows us to express the non-convex matrix equality constraint induced by the boundary condition on the terminal state covariance as a positive semi-definite (convex) constraint.
影响因子：
6.8
作者：
Chen, Yongxin;Georgiou, Tryphon T.;Pavon, Michele
通讯作者：
Pavon, Michele