Covariance Steering for Stochastic Systems

Control of stochastic systems often involves optimising the system's objective subject to chance constraints, where one assumes that the system uncertainties follow a known distribution and enforces that the system constraints hold with high probability as a function of the decision variables. But when the distributions governing the stochastic uncertainties are unknown, the probabilistic constraints have to hold for any worst case distribution governing those uncertainties. My research is about design of covariance steering for such uncertain linear systems. Future research will seek to extend the same problem for systems with nonlinear dynamics.