论文标题
单数协方差矩阵之间的正规化运输
Regularized transport between singular covariance matrices
论文作者
论文摘要
我们考虑在有限的时间内将线性随机系统转向两个终点变性高斯分布之间的问题。这说明了那些情况下,某些情况下但并非所有状态条目在初始t = 0和最后时间都不确定,t = t。这个问题需要非平凡的技术挑战,因为终端国家协方差的奇异性会导致控制在最后时间无限。在本文中,我们表明可行的插值可以作为非脱位案例的早期结果的限制案例,并且可以以封闭形式表示。此外,我们表明,这种插值属于不受控制的进化的相同等级。通过这样做,我们还强调了问题的时间对称性,在前时间和反向时间方向上对比了二元公式,在每个控制中,随着时间的时间接近终点(分别在正向和反向时间方向),每个控制都会在每个控制中增长。
We consider the problem of steering a linear stochastic system between two end-point degenerate Gaussian distributions in finite time. This accounts for those situations in which some but not all of the state entries are uncertain at the initial, t = 0, and final time, t = T . This problem entails non-trivial technical challenges as the singularity of terminal state-covariance causes the control to grow unbounded at the final time T. Consequently, the entropic interpolation (Schroedinger Bridge) is provided by a diffusion process which is not finite-energy, thereby placing this case outside of most of the current theory. In this paper, we show that a feasible interpolation can be derived as a limiting case of earlier results for non-degenerate cases, and that it can be expressed in closed form. Moreover, we show that such interpolation belongs to the same reciprocal class of the uncontrolled evolution. By doing so we also highlight a time-symmetry of the problem, contrasting dual formulations in the forward and reverse time-directions, where in each the control grows unbounded as time approaches the end-point (in the forward and reverse time-direction, respectively).