Abstract
This letter studies multi-symmetric Lyapunov equations and their application to stochastic control. It is shown how Lyapunov recursions can be used to efficiently compute the tensor-valued cumulants of the transient- and limit distributions of stochastic linear systems. This analysis is based on the assumption that the process noise distribution admits a moment expansion but, apart from this, all derivations and numerical algorithms are kept entirely general—without introducing any further assumptions on the distribution. Moreover, it is shown both theoretically and numerically how to exploit these recursions to construct accurate approximations of a rather general class of stochastic optimal control problems for linear discrete-time systems with conditional-value-at-risk constraints.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
