NDLI: Joint chance-constrained dynamic programming

Content Provider	IEEE Xplore Digital Library
Author	Ono, M. Kuwata, Y. Balaram, J.
Copyright Year	2012
Description	Author affiliation: Keio University, Kanagawa, Japan (Ono, M.) \|\| Jet Propulsion Laboratory, California Institute of Technology, 4800 Oak Grove Drive, Pasadena, USA (Kuwata, Y.; Balaram, J.)
Abstract	This paper presents a novel joint chance-constrained dynamic programming algorithm, which explicitly bounds the probability of failure to satisfy given state constraints. Existing constrained dynamic programming approaches cannot handle a joint chance constraint since their application is limited to constraints in the same form as the cost function, that is, an expectation over a sum of one-stage costs. We overcome this challenge by reformulating the joint chance constraint into a constraint on an expectation over a sum of indicator functions, which can be incorporated into the cost function by dualizing the optimization problem. As a result, the primal variables can be optimized by a standard dynamic programming, while the dual variable is optimized by a root-finding algorithm that converges exponentially. Error bounds on the primal and dual objective values are rigorously derived. We demonstrate the algorithm on a path planning problem, as well as an optimal control problem for Mars entry, descent and landing. The simulations are conducted using a real terrain data of Mars, with four million discrete states at each time step.
Starting Page	1915
Ending Page	1922
File Size	824895
Page Count	8
File Format	PDF
ISBN	9781467320658
ISSN	07431546
e-ISBN	9781467320665
e-ISBN	9781467320641
DOI	10.1109/CDC.2012.6425906
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2012-12-10
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Linear programming Joints Heuristic algorithms Approximation methods Dynamic programming Cost function
Content Type	Text
Resource Type	Article
Subject	Control and Optimization Control and Systems Engineering Modeling and Simulation

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