Convex control design via covariance minimization

We consider the problem of synthesizing optimal linear feedback policies subject to arbitrary convex constraints on the feedback matrix. This is known to be a hard problem in the usual formulations (ℋ
₂
;ℋ
_∞
;LQR) and previous works have focussed on characterizing classes of structural constraints that allow efficient solution through convex optimization or dynamic programming techniques. In this paper, we propose a new control objective based on eigenvalues of the covariance matrix of trajectories of the system and show that this formulation makes the problem of computing optimal linear feedback matrices convex under arbitrary convex constraints on the feedback matrix. This allows us to solve problems in distributed control (sparsity in the feedback matrices), control with delays and variable impedance control. Although the control objective is nonstandard, we present theoretical and empirical evidence that it agrees well with standard notions of control. We numerically validate the our approach on problems arising in power systems and simple mechanical systems.