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arXiv · 2301.07308

Computationally Efficient Covariance Steering for Systems Subject to Parametric Disturbances and Chance Constraints

Jacob Knaup·Panagiotis Tsiotras
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Abstract

This work investigates the finite-horizon optimal covariance steering problem for discrete-time linear systems subject to both additive and multiplicative uncertainties as well as state and input chance constraints. In particular, a tractable convex approximation of the optimal covariance steering problem is developed by tightening the chance constraints and by introducing a suitable change of variables. The solution of the convex approximation is shown to be a valid (albeit potentially suboptimal) solution to the original chance-constrained covariance steering problem.

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Jacob Knaup, Panagiotis Tsiotras. 2023-01-18. Computationally Efficient Covariance Steering for Systems Subject to Parametric Disturbances and Chance Constraints. https://arxiv.org/abs/2301.07308

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