Infinite-horizon, Multiple-Cumulant Cost Density-Shaping for stochastic optimal control

Recently for the LQG framework, cost density-shaping control paradigms for stochastic optimizations have been proposed. These new control methods have enabled the shape of a target cost density to be transformed into a linear control law. However, the theory developed so far pertains exclusively to the finite-horizon. The purpose of this work is to develop a Multiple-Cumulant Cost Density-Shaping (MCCDS) control solution as the terminal time approaches infinity. The first-generation benchmark for seismically-excited buildings will be used to validate the infinite-horizon MCCDS control law.