Computing Optimal Joint Chance Constrained Control Policies
Journal
IEEE Transactions on Automatic Control
ISSN
0018-9286
ISSN-Digital
1558-2523
Type
journal article
Date Issued
2025-02-26
Author(s)
Abstract
We consider the problem of optimally controlling stochastic, Markovian systems subject to joint chance constraints over a finite-time horizon. For such problems, standard dynamic programming is inapplicable due to the time correlation of the joint chance constraints, which calls for non-Markovian, and possibly stochastic, policies. Hence, despite the popularity of this problem, solution approaches capable of providing provably optimal and easy-to-compute policies are still missing. We fill this gap by augmenting the dynamics via a binary state, allowing us to characterize the optimal policies and develop a dynamic programming-based solution method.
Refereed
Yes
Volume
70
Number
7
Start page
4904
End page
4911