Chance Constrained Stochastic Optimal Control for Linear Systems with a Time Varying Random Control Matrix

Shawn Priore; Meeko Oishi

Chance Constrained Stochastic Optimal Control for Linear Systems with a Time Varying Random Control Matrix

Systems and Control 2023-08-15 v2 Systems and Control Optimization and Control

Authors: Shawn Priore , Meeko Oishi

Abstract

This work proposes an open-loop methodology to solve chance constrained stochastic optimal control problems for linear systems with a stochastic control matrix. We consider a joint chance constraint for polytopic time-varying target sets under moment and unimodality assumptions. We reformulate the chance constraint into individual biconvex constraints using the one-sided Vysochanskij-Petunin inequality. We demonstrate our methodology on two spacecraft rendezvous problems. We compare the proposed method with the scenario approach and moment-based methods based on Cantelli's inequality.

Keywords

optimal control temporal logic control matrix optimization and algorithms

Cite

@article{arxiv.2302.01863,
  title  = {Chance Constrained Stochastic Optimal Control for Linear Systems with a Time Varying Random Control Matrix},
  author = {Shawn Priore and Meeko Oishi},
  journal= {arXiv preprint arXiv:2302.01863},
  year   = {2023}
}