Related papers: Covariance Steering for Discrete-Time Linear-Quadr…
We formulate a new class of two-person zero-sum differential games, in a stochastic setting, where a specification on a target terminal state distribution is imposed on the players. We address such added specification by introducing…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian…
This paper addresses the optimal covariance steering problem for stochastic discrete-time linear systems subject to probabilistic state and control constraints. A method is presented for efficiently attaining the exact solution of the…
This paper studies the problem of steering the distribution of a discrete-time dynamical system from an initial distribution to a target distribution in finite time. The formulation is fully nonlinear, allowing the use of general control…
We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…
In this work, we consider the problem of steering the first two moments of the uncertain state of an unknown discrete-time stochastic nonlinear system to a given terminal distribution in finite time. Toward that goal, first, a…
In this paper, we present a new control policy parametrization for the finite-horizon covariance steering problem for discrete-time Gaussian linear systems (DTGLS) which can reduce the latter stochastic optimal control problem to a…
In this paper, we study the finite-horizon optimal density steering problem for discrete-time stochastic linear dynamical systems. Specifically, we focus on steering probability densities represented as Gaussian mixture models which are…
In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a…
In this work, we analyze the properties of the solution to the covariance steering problem for discrete time Gaussian linear systems with a squared Wasserstein distance terminal cost. In our previous work, we have shown that by utilizing…
In this paper, a leader-follower stochastic differential game is studied for a linear stochastic differential equation with a quadratic cost functional. The coefficients in the state equation and the weighting matrices in the cost…
In this paper, we solve the chance-constrained covariance steering problem for discrete-time Markov Jump Linear Systems (MJLS) using a convex optimization framework. We derive the analytical expressions for the mean and covariance…
We consider the problem of minimum energy steering of a linear stochastic system to a final prescribed distribution over a finite horizon and to maintain a stationary distribution over an infinite horizon. We present sufficient conditions…
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…
We study a finite-horizon covariance steering problem for discrete-time Markov jump linear systems (MJLS) with both state- and control-dependent multiplicative noise. The objective is to minimize a quadratic running cost while steering the…
We propose to solve a constrained distribution steering problem, i.e., steering a stochastic linear system from an initial distribution to some final, desired distribution subject to chance constraints. We do so by characterizing the…
This paper considers the problem of steering the state distribution of a nonlinear stochastic system from an initial Gaussian to a terminal distribution with a specified mean and covariance, subject to probabilistic path constraints. An…
This paper is concerned with a linear-quadratic (LQ) leader-follower differential game with mixed deterministic and stochastic controls. In the game, the follower is a random controller which means that the follower can choose adapted…
This paper proposes a new method for finding closed-loop saddle points in zero-sum linear-quadratic stochastic differential games by decoupling their inherent structure. Specifically, we develop a nested iterative scheme that constructs a…