# Chance Constrained Covariance Control for Linear Stochastic Systems With Output Feedback

arXiv: https://arxiv.org/abs/2001.04544 · HTML: https://mlsanity.com/paper/2001.04544/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 13 Jan 2020.

## Built on by (most cited first, 1 of 1)

- [On the Convexity of Discrete Time Covariance Steering in Stochastic Linear Systems with Wasserstein Terminal Cost](https://mlsanity.com/paper/2103.13579/) (2021)

## Abstract (arXiv)

We consider the problem of steering, via output feedback, the state distribution of a discrete-time, linear stochastic system from an initial Gaussian distribution to a terminal Gaussian distribution with prescribed mean and maximum covariance, subject to probabilistic path constraints on the state. The filtered state is obtained via a Kalman filter, and the problem is formulated as a deterministic convex program in terms of the distribution of the filtered state. We observe that, in the presence of constraints on the state covariance, and in contrast to classical Linear Quadratic Gaussian (LQG) control, the optimal feedback control depends on both the process noise and the observation model. The effectiveness of the proposed approach is verified using a numerical example.