An Algorithm for State Constrained Stochastic Linear-Quadratic Control

Zhou Zhou & Randy Cogill
Here we consider a state-constrained stochastic linear quadratic control problem. This problem has linear dynamics and a quadratic cost, and states are required to satisfy a probabilistic constraint. In this paper, the joint probabilistic constraint in the model is converted to a conservative deterministic one using multi-dimensional Chebyshev bound. A maximum volume inscribed ellipsoid problem is solved to obtain this probability bound. We then design an optimal affine controller for the resulting problem. The convexity...
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