Method for solving chance constrained optimal control problems using biased kernel density estimators. (6th October 2020)

• Record Type: Journal Article
• Authors: Keil, Rachel E.; T. Miller, Alexander; Kumar, Mrinal; Rao, Anil V.
• Is Part Of: Optimal control applications and methods. Volume 42:Number 1(2021)
• Page Start: 330
• Page End: 354
• Publication Date: 2020-10-06
• Subjects: chance constraints -- kernel density estimators -- optimization -- optimal control; Control theory -- Periodicals; Mathematical optimization -- Periodicals; 629.8312
• DOI: 10.1002/oca.2675
• Languages: English
• ISSNs: 0143-2087

Abstract

Summary: A method is developed to numerically solve chance constrained optimal control problems. The chance constraints are reformulated as nonlinear constraints that retain the probability properties of the original constraint. The reformulation transforms the chance constrained optimal control problem into a deterministic optimal control problem that can be solved numerically. The new method developed in this paper approximates the chance constraints using Markov Chain Monte Carlo sampling and kernel density estimators whose kernels have integral functions that bound the indicator function. The nonlinear constraints resulting from the application of kernel density estimators are designed with bounds that do not violate the bounds of the original chance constraint. The method is tested on a nontrivial chance constrained modification of a soft lunar landing optimal control problem and the results are compared with results obtained using a conservative deterministic formulation of the optimal control problem. Additionally, the method is tested on a complex chance constrained unmanned aerial vehicle problem. The results show that this new method can be used to reliably solve chance constrained optimal control problems.