Method for Chance Constrained Optimal Control Using Biased Kernel Density Estimators

Abstract: A method is developed to numerically solve chance constrained optimal control problems. The chance constraints are reformulated as nonlinear constraints that retain the probability properties of the original constraint. The reformulation transforms the chance constrained optimal control problem into a deterministic optimal control problem that can be solved numerically. The new method developed in this paper approximates the chance constraints using Markov Chain Monte Carlo (MCMC) sampling and kernel density estimators whose kernels have integral functions that bound the indicator function. The nonlinear constraints resulting from the application of kernel density estimators are designed with bounds that do not violate the bounds of the original chance constraint. The method is tested on a non-trivial chance constrained modification of a soft lunar landing optimal control problem and the results are compared with results obtained using a conservative deterministic formulation of the optimal control problem. The results show that this new method efficiently solves chance constrained optimal control problems.