A Covariance Feedback Approach to Covariance Control of Nonlinear Stochastic Systems

Abstract

In this paper, the covariance control algorithm for nonlinear stochastic systems using covariance feedback is studied. Covariance control of nonlinear systems scenario involves the theory of covariance control based on the idea of the covariance feedback. Therefore, the proposed covariance control algorithm is derived for our case, firstly by applying the covariance control method and linear approximation of nonlinear systems, and then it is achieved by adopting this method for a class of nonlinear stochastic systems by using feedback linearization idea and a covariance feedback controller. The effectiveness of the proposed covariance feedback algorithm is studied using numerous simulations concerning different nonlinear case studies.