Fine-Tuned Convex Approximations of Probabilistic Reachable Sets under Data-driven Uncertainties

Abstract: This paper proposes a mechanism to fine-tune convex approximations of probabilistic reachable sets (PRS) of uncertain dynamic systems. We consider the case of unbounded uncertainties, for which it may be impossible to find a bounded reachable set of the system. Instead, we turn to find a PRS that bounds system states with high confidence. Our data-driven approach builds on a kernel density estimator (KDE) accelerated by a fast Fourier transform (FFT), which is customized to model the uncertainties and obtain the PRS efficiently. However, the non-convex shape of the PRS can make it impractical for subsequent optimal designs. Motivated by this, we formulate a mixed integer nonlinear programming (MINLP) problem whose solution result is an optimal $n$ sided convex polygon that approximates the PRS. Leveraging this formulation, we propose a heuristic algorithm to find this convex set efficiently while ensuring accuracy. The algorithm is tested on comprehensive case studies that demonstrate its near-optimality, accuracy, efficiency, and robustness. The benefits of this work pave the way for promising applications to safety-critical, real-time motion planning of uncertain dynamic systems.