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Title: Finite-horizon covariance control of linear time-varying systems
We consider the problem of finite-horizon optimal control of a discrete linear time-varying system subject to a stochastic disturbance and fully observable state. The initial state of the system is drawn from a known Gaussian distribution, and the final state distribution is required to reach a given target Gaussian distribution, while minimizing the expected value of the control effort. We derive the linear optimal control policy by first presenting an efficient solution for the diffusion-less case, and we then solve the case with diffusion by reformulating the system as a superposition of diffusion-less systems. We show that the resulting solution coincides with a LQG problem with particular terminal cost weight matrix.  more » « less
Award ID(s):
1662523
NSF-PAR ID:
10077891
Author(s) / Creator(s):
;
Date Published:
Journal Name:
Conference on Decision and Control
Page Range / eLocation ID:
3606 to 3611
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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