On optimal steering of a non-Markovian Gaussian process

Daniele Alpago, Yongxin Chen, Tryphon Georgiou, Michele Pavon

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

At present, the problem to steer general nonMarkovian processes between specified end-point marginal distributions with minimum energy remains unsolved. Herein, we consider the special case of a non-Markovian process y(t) which assumes a finite-dimensional stochastic realization with a Markov state process that is fully observable. In this setting, and over a finite time horizon [0, T], we determine an optimal (least) finite-energy control law that steers the stochastic system to a final distribution that is compatible with a specified distribution for the terminal output process y(T); the solution is given in closed-form. This work provides a key step towards the important problem to steer a stochastic system based on partial observations of the state (i.e., an output process) corrupted by noise.

Original languageEnglish (US)
Title of host publication2019 IEEE 58th Conference on Decision and Control, CDC 2019
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages2556-2561
Number of pages6
ISBN (Electronic)9781728113982
DOIs
StatePublished - Dec 2019
Event58th IEEE Conference on Decision and Control, CDC 2019 - Nice, France
Duration: Dec 11 2019Dec 13 2019

Publication series

NameProceedings of the IEEE Conference on Decision and Control
Volume2019-December
ISSN (Print)0743-1546
ISSN (Electronic)2576-2370

Conference

Conference58th IEEE Conference on Decision and Control, CDC 2019
Country/TerritoryFrance
CityNice
Period12/11/1912/13/19

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

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