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Pré-Publication, Document De Travail Année : 2024

Mean-Covariance Steering of a Linear Stochastic System with Input Delay and Additive Noise

Résumé

In this paper, we introduce a novel approach to solve the (mean-covariance) steering problem for a fairly general class of linear continuous-time stochastic systems subject to input delays. Specifically, we aim at steering delayed linear stochastic differential equations to a final desired random variable with given mean and covariance. We first establish a controllability result for these control systems, revealing the existence of a lower bound under which the covariance of the control system cannot be steered. This structural threshold covariance stems from a unique combined effect due to stochastic diffusions and delays. Next, we propose a numerically cheap approach to reach any neighbor of this threshold covariance in finite time. Via an optimal control-based strategy, we enhance the aforementioned approach to keep the system covariance small at will in the whole control horizon. Under some additional assumptions on the dynamics, we give theoretical guarantees on the efficiency of our method. Finally, numerical simulations are provided to ground our theoretical findings, showcasing the ability of our methods in optimally approaching the covariance threshold.
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Dates et versions

hal-04381695 , version 1 (09-01-2024)

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Velho Gabriel, Riccardo Bonalli, Jean Auriol, Islam Boussaada. Mean-Covariance Steering of a Linear Stochastic System with Input Delay and Additive Noise. 2024. ⟨hal-04381695⟩
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