Covariance Control of Nonlinear Dynamic Systems via Exact Stationary Probability Density Function

This paper presents a method for designing covariance type controls of nonlinear stochastic systems. The method consists of two steps. The first step is to find a class of nonlinear feedback controls with undetermined gains such that the exact stationary PDF of the response is obtainable. The second step is to select the control gains in the context of the covariance control method by minimizing a performance index. The exact PDF makes the solution process of optimization very efficient, and the evaluation of expectations of nonlinear functions of the response very accurate. The theoretical results of various orders of response moments by the present method have been compared with Monte Carlo simulations. Special cases are studied when the approximate methods based on the maximum entropy principle or other closure schemes leads less accurate response estimates, while the present method still works fine.