Discrete-Time Linear-Quadratic Regulation via Optimal Transport (2109.02347v1)

Abstract: In this paper, we consider a discrete-time stochastic control problem with uncertain initial and target states. We first discuss the connection between optimal transport and stochastic control problems of this form. Next, we formulate a linear-quadratic regulator problem where the initial and terminal states are distributed according to specified probability densities. A closed-form solution for the optimal transport map in the case of linear-time varying systems is derived, along with an algorithm for computing the optimal map. Two numerical examples pertaining to swarm deployment demonstrate the practical applicability of the model, and performance of the numerical method.