On the Convexity of Discrete Time Covariance Steering in Stochastic Linear Systems with Wasserstein Terminal Cost

• URL: http://arxiv.org/abs/2103.13579v1
• Date: Thu, 25 Mar 2021 03:24:52 GMT
• Title: On the Convexity of Discrete Time Covariance Steering in Stochastic Linear Systems with Wasserstein Terminal Cost
• Authors: Isin M. Balci, Abhishek Halder, Efstathios Bakolas
• Abstract summary: We show that when the terminal state covariance is upper bounded, with respect to the L"owner partial order, our problem admits a unique global minimizing state feedback gain. The results of this paper set the stage for the development of specialized control design tools.
• Score: 1.1602089225841632
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: In this work, we analyze the properties of the solution to the covariance steering problem for discrete time Gaussian linear systems with a squared Wasserstein distance terminal cost. In our previous work, we have shown that by utilizing the state feedback control policy parametrization, this stochastic optimal control problem can be associated with a difference of convex functions program. Here, we revisit the same covariance control problem but this time we focus on the analysis of the problem. Specifically, we establish the existence of solutions to the optimization problem and derive the first and second order conditions for optimality. We provide analytic expressions for the gradient and the Hessian of the performance index by utilizing specialized tools from matrix calculus. Subsequently, we prove that the optimization problem always admits a global minimizer, and finally, we provide a sufficient condition for the performance index to be a strictly convex function (under the latter condition, the problem admits a unique global minimizer). In particular, we show that when the terminal state covariance is upper bounded, with respect to the L\"{o}wner partial order, by the covariance matrix of the desired terminal normal distribution, then our problem admits a unique global minimizing state feedback gain. The results of this paper set the stage for the development of specialized control design tools that exploit the structure of the solution to the covariance steering problem with a squared Wasserstein distance terminal cost.

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