On the Convexity of Discrete Time Covariance Steering in Stochastic Linear Systems with Wasserstein Terminal Cost

TL;DR

This paper analyzes the convexity and solution properties of the discrete-time covariance steering problem for Gaussian linear systems with Wasserstein distance terminal cost, establishing existence, optimality conditions, and conditions for convexity.

Contribution

It provides a detailed analysis of the covariance steering problem, including existence of solutions, optimality conditions, and convexity criteria, which were not previously established.

Findings

Existence of solutions to the covariance steering problem.

Derivation of first and second order optimality conditions.

Identification of conditions for strict convexity and unique global minimizer.

Abstract

In this work, we analyze the properties of the solution to the covariance steering problem for discrete time Gaussian linear systems with a squared Wasserstein distance terminal cost. In our previous work, we have shown that by utilizing the state feedback control policy parametrization, this stochastic optimal control problem can be associated with a difference of convex functions program. Here, we revisit the same covariance control problem but this time we focus on the analysis of the problem. Specifically, we establish the existence of solutions to the optimization problem and derive the first and second order conditions for optimality. We provide analytic expressions for the gradient and the Hessian of the performance index by utilizing specialized tools from matrix calculus. Subsequently, we prove that the optimization problem always admits a global minimizer, and finally, we provide a sufficient condition for the performance index to be a strictly convex function (under the latter condition, the problem admits a unique global minimizer). In particular, we show that when the terminal state covariance is upper bounded, with respect to the L\"{o}wner partial order, by the covariance matrix of the desired terminal normal distribution, then our problem admits a unique global minimizing state feedback gain. The results of this paper set the stage for the development of specialized control design tools that exploit the structure of the solution to the covariance steering problem with a squared Wasserstein distance terminal cost.