We consider design of sparse controllers for a stochastic linear system with infinite horizon quadratic objective. We formulate the non-sparse optimal solution through a semidefinite program for the second order moments of the states and inputs. Given that the centralized non-sparse controller solves a linear equation in these moments, we find sparse least squares approximate solutions to this linear equation. The performance of the approach is shown with several simulations.
Fabio Nobile, Francesca Bonizzoni
Fabio Nobile, Francesca Bonizzoni