Method for solving chance constrained optimal control problems using biased kernel density estimators

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.

Automated summary

A numerical method is developed in this paper to solve chance constrained optimal control problems by reformulating the chance constraints as nonlinear constraints and approximating them using kernel density estimators and Markov Chain Monte Carlo sampling. The method is tested on two problems and shown to be reliable and effective in solving chance constrained optimal control problems.