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arXiv · 2604.01547

Data-Driven Covariance Steering with Output Feedback

Dimitrios Moustroufis·Panagiotis Tsiotras
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Abstract

This paper addresses output-feedback covariance steering for stochastic discrete-time linear time-invariant systems with unknown dynamics. We construct a controllable non-minimal state representation from past inputs and outputs, allowing the problem to be formulated in a standard state-feedback setting. The induced disturbance, however, is temporally correlated, requiring propagation of the state-disturbance cross-covariance. Using persistently exciting offline data, we employ an indirect approach for mean steering and a direct approach for covariance steering. The indirect formulation requires estimation of the mean dynamics, whereas the direct formulation requires estimation of the noise realization. We develop estimation methods suitable for temporally correlated noise and formulate the resulting covariance steering problem as a convex semidefinite program. Numerical simulations demonstrate the effectiveness of the proposed framework.

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BibTeXRIS

Dimitrios Moustroufis, Panagiotis Tsiotras. 2026-09-14. Data-Driven Covariance Steering with Output Feedback. https://arxiv.org/abs/2604.01547

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