Finite-horizon covariance control for discrete-time stochastic linear systems subject to input constraints

DOI10.1016/j.automatica.2018.01.029zbMath1387.93179OpenAlexW2791122645WikidataQ130107634 ScholiaQ130107634MaRDI QIDQ1641047

Efstathios Bakolas

Publication date: 14 June 2018

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2018.01.029

zbMATH Keywords

convex optimizationstochastic optimal controldiscrete-time linear systemscovariance control

Mathematics Subject Classification ID

Semidefinite programming (90C22) Nonlinear programming (90C30) Transformations (93B17) Optimal stochastic control (93E20)

Related Items (5)

Dynamical optimal transport of nonlinear control-affine systems ⋮ A covariance feedback approach to covariance control of nonlinear stochastic systems ⋮ Convex Optimization for Finite-Horizon Robust Covariance Control of Linear Stochastic Systems ⋮ Minimum variance constrained estimator ⋮ Stochastic Control Liaisons: Richard Sinkhorn Meets Gaspard Monge on a Schrödinger Bridge

Uses Software

• CVX

Cites Work

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