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eess.SY2022★ 4 cited
Optimal Covariance Steering for Discrete-Time Linear Stochastic Systems
Fengjiao Liu, George Rapakoulias, Panagiotis Tsiotras
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 th…
math.OC2022★ 2 cited
Optimal Covariance Steering for Continuous-Time Linear Stochastic Systems With Multiplicative Noise
Fengjiao Liu, Panagiotis Tsiotras
In this paper we study the finite-horizon optimal covariance steering problem for a continuous-time linear stochastic system subject to both additive and multiplicative noise. The…