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Convex Optimization for Finite-Horizon Robust Covariance Control of Linear Stochastic Systems.
Georgios Kotsalis
Guanghui Lan
Arkadi S. Nemirovsky
Published in:
SIAM J. Control. Optim. (2021)
Keyphrases
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convex optimization
finite horizon
stochastic systems
low rank matrix
low rank
optimal policy
infinite horizon
control system
total variation
optimal control
primal dual
higher order
non stationary
control strategy
confidence intervals
image processing
multistage
wavelet transform
pairwise