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arXiv 2302.14296eess.SYcs.SY
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基于半定规划的离散时间最优协方差导引

Discrete-time Optimal Covariance Steering via Semidefinite Programming

George Rapakoulias, Panagiotis Tsiotras

AI总结:

针对受概率状态与控制约束的随机离散时间线性系统,提出基于半定规划无损凸松弛的最优协方差导引方法,并证明其精确性与计算优势。

摘要:

本文研究受概率状态与控制约束的随机离散时间线性系统的最优协方差导引问题。论文提出一种方法,通过利用半定规划对原始非线性规划进行无损凸松弛,从而高效获得该问题的精确解。文中讨论了该问题的约束版本与无约束版本,并涵盖等式或不等式终端协方差边界条件。我们首先证明,所提出的松弛在上述所有情形下均为无损。随后给出一个数值算例以说明该方法。最后,在不同规模和导引时域的系统中开展比较研究,以说明与现有最先进方法相比,所提方法在计算资源方面的优势。

英文摘要:

This paper addresses the optimal covariance steering problem for stochastic discrete-time linear systems subject to probabilistic state and control constraints. A method is presented for efficiently attaining the exact solution of the problem based on a lossless convex relaxation of the original non-linear program using semidefinite programming. Both the constrained and the unconstrained versions of the problem with either equality or inequality terminal covariance boundary conditions are addressed. We first prove that the proposed relaxation is lossless for all of the above cases. A numerical example is then provided to illustrate the method. Finally, a comparative study is performed in systems of various sizes and steering horizons to illustrate the advantages of the proposed method in terms of computational resources compared to the state of the art.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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