Optimal Covariance Control for Stochastic Systems Under Chance Constraints

This letter addresses the optimal covariance control problem for stochastic discrete-time linear systems subject to chance constraints. To the best of our knowledge, covariance steering problems with probabilistic chance constraints have not been discussed previously in the literature, although their treatment seems to be a natural extension. In this letter, we first show that, unlike the case with no chance constraints, the covariance steering problem with chance constraints cannot be decoupled to mean and covariance steering sub-problems. We then propose an approach to solve the covariance steering problem with chance constraints by converting it to a convex programming problem. The proposed algorithm is verified using a numerical example.