Optimal Covariance Control for Stochastic Systems Under Chance Constraints
Optimal Covariance Control for Stochastic Systems Under Chance Constraints
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DOI：
10.1109/lcsys.2018.2826038
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发表时间：
2018-04
影响因子：
3
通讯作者：
Kazuhide Okamoto;M. Goldshtein;P. Tsiotras
中科院分区：
文献类型：
--
作者：
Kazuhide Okamoto;M. Goldshtein;P. Tsiotras
本文讨论了随机离散线性系统的最优协方差控制问题。据我们所知，具有概率机会约束的协方差转向问题在以前的文献中没有讨论过，尽管它们的处理似乎是一种自然的延伸。在这封信中，我们首先表明，与没有机会约束的情况不同，有机会约束的协方差转向问题不能解耦到均值和协方差转向子问题。然后，我们提出了一种方法来解决协方差转向问题与机会约束转化为凸规划问题。通过数值算例验证了该算法的有效性。
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 their treatment seems to be a natural extension. In this letter, we first show that, unlike the case with no chance constraints, the covariance steering problem with chance constraints cannot be decoupled to mean and covariance steering sub-problems. We then propose an approach to solve the covariance steering problem with chance constraints by converting it to a convex programming problem. The proposed algorithm is verified using a numerical example.