Covariance Steering Research Articles

Constrained minimum variance and covariance steering based on affine disturbance feedback control parameterization

AbstractThis 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 the affine disturbance feedback control parametrization. In this control policy parametrization, the control input at each stage is expressed as an affine function of the history of disturbances that have acted upon the system. It is shown that this particular parametrization reduces the stochastic optimal control problems considered in this paper into tractable convex programs or difference of convex functions programs with essentially the same decision variables. In addition, the paper proposes a variation of this control parametrization that relies on truncated histories of past disturbances, which allows for sub‐optimal controllers to be designed that strike a balance between performance and computational cost. The suboptimality of the truncated policies is formally analyzed and closed form expressions are provided for the performance loss due to the use of the truncation scheme. Finally, the paper concludes with a comparative analysis of the truncated versions of the proposed policy parametrization and other standard policy parametrizations through numerical simulations.

Optimal Covariance Steering for Continuous-Time Linear Stochastic Systems With Martingale Additive Noise

Optimal Covariance Steering for Continuous-Time Linear Stochastic Systems With Martingale Additive Noise

Optimal Covariance Steering for Continuous-Time Linear Stochastic Systems With Multiplicative Noise

Optimal Covariance Steering for Continuous-Time Linear Stochastic Systems With Multiplicative Noise

Chance-Constrained Covariance Steering in a Gaussian Random Field via Successive Convex Programming

The problem of optimizing affine feedback laws that explicitly steer the mean and covariance of an uncertain system state in the presence of a Gaussian random field is considered. Spatially dependent disturbances are successively approximated with respect to a nominal trajectory by a sequence of jointly Gaussian random vectors. Sequential updates to the nominal control inputs are computed via convex optimization that includes the effect of affine state feedback, the perturbing effects of spatial disturbances, and chance constraints on the closed-loop state and control. The developed method is applied to solve for an affine feedback law to minimize the 99th percentile of required to complete an aerocapture mission around a planet with a randomly disturbed atmosphere.

Covariance Steering With Optimal Risk Allocation

This article extends the optimal covariance steering (CS) problem for linear stochastic systems subject to chance constraints so as to account for an optimal allocation of the risk. Previous works have assumed a <italic xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">uniform</i> risk allocation in order to cast the optimal control problem as a semidefinite program, which can be solved efficiently using standard SDP solvers. An iterative risk allocation (IRA) formalism is used to solve the optimal risk allocation problem for CS using a two-stage approach. The upper-stage of IRA optimizes the risk, which is a convex problem, while the lower-stage optimizes the controller with the new constraints. The process is applied iteratively until the optimal risk allocation that achieves the lowest total cost is obtained. The proposed framework results in solutions that tend to maximize the terminal covariance, while still satisfying the chance constraints, thus leading to less conservative solutions than previous methodologies. In this article, we consider both polyhedral and cone state chance constraints. Finally, we demonstrate the approach to a spacecraft rendezvous problem and compare the results with other competing approaches.

Optimal Stochastic Vehicle Path Planning Using Covariance Steering

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 open-loop 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 non-convex state chance constraints. The proposed framework is verified using simple numerical simulations.

Optimal Covariance Control for Stochastic Systems Under Chance Constraints

This work addresses the optimal covariance control problem for stochastic discrete-time linear time-varying 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.