Chance Constrained Covariance Control for Linear Stochastic Systems With Output Feedback

10 Sep 2020 Ridderhof Jack Okamoto Kazuhide Tsiotras Panagiotis

We consider the problem of steering, via output feedback, the state distribution of a discrete-time, linear stochastic system from an initial Gaussian distribution to a terminal Gaussian distribution with prescribed mean and maximum covariance, subject to probabilistic path constraints on the state. The filtered state is obtained via a Kalman filter, and the problem is formulated as a deterministic convex program in terms of the distribution of the filtered state... (read more)

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