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

被引：2
|
作者：
Liu, Fengjiao [1 ]
Tsiotras, Panagiotis [1 ]
机构：
[1] Georgia Inst Technol, Sch Aerosp Engn, Atlanta, GA 30332 USA
来源：
IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 2024年 / 69卷 / 10期
关键词：
Noise; Optimal control; Mathematical models; Differential equations; Stochastic systems; Process control; Costs; Covariance control; linear stochastic systems; Riccati differential equation; state-dependent noise;
D O I：
10.1109/TAC.2024.3402059
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this article, we study the finite-horizon optimal covariance steering problem for a continuous-time linear stochastic system subject to both additive and multiplicative noise. The noise can be continuous or it may contain jumps. The additive noise does not depend on the state or the control, whereas the multiplicative noise has a magnitude proportional to the current state. The cost is assumed to be quadratic in both the state and the control. The optimal control for steering the covariance from some initial to some final value is provided. Furthermore, the existence and uniqueness of the optimal control is shown. In the process, we also provide a result of independent interest regarding the maximal interval of existence of the solution of a matrix Riccati differential equation.
引用
收藏
页码：7247 / 7254
页数：8
相关论文
共 50 条
  • [21] Continuous-Time Opinion Dynamics With Stochastic Multiplicative Noises
    Liang, Haili
    Su, Housheng
    Wang, Ying
    Peng, Chen
    Fei, Minrui
    Wang, Xiaofan
    IEEE TRANSACTIONS ON CIRCUITS AND SYSTEMS II-EXPRESS BRIEFS, 2019, 66 (06) : 988 - 992
  • [22] COMPUTATIONAL ALGORITHM FOR OPTIMAL CONTROL OF CONTINUOUS-TIME STOCHASTIC SYSTEMS
    TACKER, EC
    SANDERS, CW
    LINTON, TD
    IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 1973, AC18 (03) : 310 - 311
  • [23] Study on H _ Index of Stochastic Linear Continuous-Time Systems
    Li, Yan
    Zhang, Tianliang
    Liu, Xikui
    Jiang, Xiushan
    MATHEMATICAL PROBLEMS IN ENGINEERING, 2015, 2015
  • [24] IDENTIFICATION OF CONTINUOUS-TIME LINEAR DYNAMIC STOCHASTIC-SYSTEMS
    KULCHITSKII, OY
    SKROBOTOV, SV
    AUTOMATION AND REMOTE CONTROL, 1990, 51 (08) : 1095 - 1104
  • [25] Linear Quadratic Optimal Control for Continuous-time Stochastic Systems with Single Input-delay
    Wang, Hongxia
    Zhang, Huanshui
    Wang, Xuan
    PROCEEDINGS OF THE 2012 24TH CHINESE CONTROL AND DECISION CONFERENCE (CCDC), 2012, : 2821 - 2828
  • [26] Optimal control and filtering of weakly coupled linear continuous-time stochastic systems by the eigenvector approach
    Prljaca, N.
    Gajic, Z.
    Sehic, Z.
    Proceedings of the 26th IASTED International Conference on Modelling, Identification, and Control, 2007, : 139 - 145
  • [27] State Estimation by Continuous-Time Observations in Multiplicative Noise
    Borisov, Andrey V.
    Semenikhin, Konstantin V.
    IFAC PAPERSONLINE, 2017, 50 (01): : 1601 - 1606
  • [28] New design of fixed-interval smoother using covariance information in linear stochastic continuous-time systems
    Nakamori, S
    APPLIED MATHEMATICS AND COMPUTATION, 2003, 144 (2-3) : 557 - 567
  • [29] OPTIMAL OBSERVERS FOR CONTINUOUS TIME LINEAR STOCHASTIC SYSTEMS
    LEONDES, CT
    YOCUM, JF
    AUTOMATICA, 1975, 11 (01) : 61 - 73
  • [30] Design of linear continuous-time stochastic estimators using covariance information in Krein spaces
    Nakamori, S
    IEICE TRANSACTIONS ON FUNDAMENTALS OF ELECTRONICS COMMUNICATIONS AND COMPUTER SCIENCES, 2001, E84A (09) : 2261 - 2271
12345