2 papers
math.OC2018
Optimal Covariance Control for Stochastic Systems Under Chance Constraints
Kazuhide Okamoto, Maxim Goldshtein, Panagiotis Tsiotras
This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying systems subject to chance constraints. Covariance steering is a stochast…
math.OC2017
Finite-Horizon Covariance Control of Linear Time-Varying Systems
Maxim Goldshtein, Panagiotis Tsiotras
We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state…