This work addresses the optimal covariance control problem for stochastic discrete-time linear timevarying systems subject to chance constraints. Covariance steering is a stochastic control problem to steer the system state Gaussian distribution to another Gaussian distribution while minimizing a cost function. To the best of our knowledge, covariance steering problems have never been discussed with probabilistic chance constraints although it is a natural extension. In this work, first we show that, unlike the case with no chance constraints, the covariance steering with chance constraints problem cannot decouple the mean and covariance steering sub-problems. Then we propose an approach to solve the covariance steering with chance constraints problem by converting it to a semidefinite programming problem. The proposed algorithm is verified using two simple numerical simulations.

This work addresses the problem of vehicle path planning in the presence of obstacles and uncertainties, which is a fundamental problem in robotics. While many path planning algorithms have been proposed for decades, many of them have dealt with only deterministic environments or only openloop uncertainty, i.e., the uncertainty of the system state is not controlled and, typically, increases with time due to exogenous disturbances, which leads to the design of potentially conservative nominal paths. In order to deal with disturbances and reduce uncertainty, generally, a lower-level feedback controller is used. We conjecture that, if a path planner can consider the closed-loop evolution of the system uncertainty, it can compute less conservative but still feasible paths. To this end, in this work we develop a new approach that is based on optimal covariance steering, which explicitly steers the state covariance for stochastic linear systems with additive noise under nonconvex state chance constraints. The proposed framework is verified using simple numerical simulations. arXiv:1809.03380v1 [math.OC]

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