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

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Publication date: 3 February 2023

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.

Has companion code repository: https://github.com/unm-hscl/shawnpriore-random-control-matrix

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