Optimal Steering of a Linear Stochastic System to a Final Probability Distribution, Part II

Yongxin Chen, Tryphon T. Georgiou, Michele Pavon

Research output: Contribution to journalArticlepeer-review

100 Scopus citations


We address the problem of steering the state of a linear stochastic system to a prescribed distribution over a finite horizon with minimum energy, and the problem to maintain the state at a stationary distribution over an infinite horizon with minimum power. For both problems the control and Gaussian noise channels are allowed to be distinct, thereby, placing the results of this paper outside of the scope of previous work both in probability and in control. The special case where the disturbance and control enter through the same channels has been addressed in the first part of this work that was presented as Part I. Herein, we present sufficient conditions for optimality in terms of a system of dynamically coupled Riccati equations in the finite horizon case and in terms of algebraic conditions for the stationary case. We then address the question of feasibility for both problems. For the finite-horizon case, provided the system is controllable, we prove that without any restriction on the directionality of the stochastic disturbance it is always possible to steer the state to any arbitrary Gaussian distribution over any specified finite time-interval. For the stationary infinite horizon case, it is not always possible to maintain the state at an arbitrary Gaussian distribution through constant state-feedback. It is shown that covariances of admissible stationary Gaussian distributions are characterized by a certain Lyapunov-like equation and, in fact, they coincide with the class of stationary state covariances that can be attained by a suitable stationary colored noise as input. We finally address the question of how to compute suitable controls numerically. We present an alternative to solving the system of coupled Riccati equations, by expressing the optimal controls in the form of solutions to (convex) semi-definite programs for both cases. We conclude with an example to steer the state covariance of the distribution of inertial particles to an admissible stationary Gaussian distribution over a finite interval, to be maintained at that stationary distribution thereafter by constant-gain state-feedback control.

Original languageEnglish (US)
Article number7160709
Pages (from-to)1170-1180
Number of pages11
JournalIEEE Transactions on Automatic Control
Issue number5
StatePublished - May 2016

Bibliographical note

Funding Information:
This work was supported in part by the National Science Foundation (NSF) under Grants ECCS-1027696 and ECCS-1509387 and the AFOSR under Grants FA9550-12-1-0319 and FA9550-15-1-0045, and by the University of Padova Research Project CPDA 140897. Recommended by Associate Editor C. Belta.

Publisher Copyright:
© 1963-2012 IEEE.


  • Linear stochastic systems
  • Schrodinger bridges
  • covariance control
  • stationary distributions
  • stochastic optimal control


Dive into the research topics of 'Optimal Steering of a Linear Stochastic System to a Final Probability Distribution, Part II'. Together they form a unique fingerprint.

Cite this