Sampling-based Approximations with Quantitative Performance for the Probabilistic Reach-Avoid Problem over General Markov Processes (1409.0553v2)

Abstract: This article deals with stochastic processes endowed with the Markov (memoryless) property and evolving over general (uncountable) state spaces. The models further depend on a non-deterministic quantity in the form of a control input, which can be selected to affect the probabilistic dynamics. We address the computation of maximal reach-avoid specifications, together with the synthesis of the corresponding optimal controllers. The reach-avoid specification deals with assessing the likelihood that any finite-horizon trajectory of the model enters a given goal set, while avoiding a given set of undesired states. This article newly provides an approximate computational scheme for the reach-avoid specification based on the Fitted Value Iteration algorithm, which hinges on random sample extractions, and gives a-priori computable formal probabilistic bounds on the error made by the approximation algorithm: as such, the output of the numerical scheme is quantitatively assessed and thus meaningful for safety-critical applications. Furthermore, we provide tighter probabilistic error bounds that are sample-based. The overall computational scheme is put in relationship with alternative approximation algorithms in the literature, and finally its performance is practically assessed over a benchmark case study.