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Covariance Steering for Nonlinear Control-affine Systems

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arxiv 2108.09530 v2 pith:4YDM5ZMU submitted 2021-08-21 math.OC cs.SYeess.SY

classification math.OCcs.SYeess.SY
keywords covariancealgorithmsteeringproblemcontrol-affineexistinglinearnonlinear
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We consider the covariance steering problem for nonlinear control-affine systems. Our objective is to find an optimal control strategy to steer the state of a system from an initial distribution to a target one whose mean and covariance are given. Due to the nonlinearity, the existing techniques for linear covariance steering problems are not directly applicable. By leveraging the celebrated Girsanov theorem, we formulate the problem into an optimization over the space path distributions. We then adopt a generalized proximal gradient algorithm to solve this optimization, where each update requires solving a linear covariance steering problem. Our algorithm is guaranteed to converge to a local optimal solution with a sublinear rate. In addition, each iteration of the algorithm can be achieved in closed form, and thus the computational complexity of it is insensitive to the resolution of time-discretization. In the examples, our method achieves 1000 times speedup over an existing algorithm.

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Cited by 2 Pith papers

Reviewed papers in the Pith corpus that reference this work. Sorted by Pith novelty score. Full citation record

  1. Continuous-Time Covariance Steering with Common Free-Final Time: Finite-Horizon Solutions and Infinite-Horizon Limits

    math.OC 2026-08 conditional novelty 7.0 of 10

    An asymptotic infinite-horizon optimal stopping time in covariance steering occurs exactly when there is no time or state cost and the system has a positive-definite stationary covariance; otherwise a finite optimal t...

  2. Chance-Constrained Nonlinear Covariance Control via Robust Linearization Remainder Bounds

    eess.SY 2026-07 reject novelty 6.0 of 10

    A robust linear matrix inequality treats Taylor remainders as bounded uncertainty and propagates an upper bound on the stopped second moment to certify chance constraints in nonlinear covariance control.

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