Constrained minimum variance and covariance steering based on affine disturbance feedback control parameterization
Isin M. Balci,
Efstathios Bakolas
Abstract:This paper deals with finite‐horizon minimum‐variance and covariance steering problems subject to constraints. The goal of the minimum variance problem is to steer the state mean of an uncertain system to a prescribed vector while minimizing the trace of its terminal state covariance whereas the goal in the covariance steering problem is to steer the covariance matrix of the terminal state to a prescribed positive definite matrix. The paper proposes a solution approach that relies on a stochastic version of th… Show more
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