Distributionally Robust Covariance Steering with Optimal Risk Allocation

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Publication date: 30 September 2022

Abstract: This article extends the optimal covariance steering (CS) problem for discrete time linear stochastic systems modeled using moment-based ambiguity sets. To hedge against the uncertainty in the state distributions while performing covariance steering, distributionally robust risk constraints are employed during the optimal allocation of the risk. Specifically, a distributionally robust iterative risk allocation (DR-IRA) formalism is used to solve the optimal risk allocation problem for the CS problem using a two-stage approach. The upper-stage of DR-IRA is a convex problem that optimizes the risk, while the lower-stage optimizes the controller with the new distributionally robust risk constraints. The proposed framework results in solutions that are robust against arbitrary distributions in the considered ambiguity set. Finally, we demonstrate our proposed approach using numerical simulations. Addressing the covariance steering problem through the lens of distributional robustness marks the novel contribution of this article.

Has companion code repository: https://github.com/venkatramanrenganathan/covariance-steering-with-optimal-dr-risk-allocation

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