Trajectory Optimization of Stochastic Systems under Chance Constraints via Set Erosion

Abstract: We study the trajectory optimization problem under chance constraints for continuous-time stochastic systems. To address chance constraints imposed on the entire stochastic trajectory, we propose a framework based on the set erosion strategy, which converts the chance constraints into safety constraints on an eroded subset of the safe set along the corresponding deterministic trajectory. The depth of erosion is captured by the probabilistic bound on the distance between the stochastic trajectory and its deterministic counterpart, for which we utilize a novel and sharp probabilistic bound developed recently. By adopting this framework, a deterministic control input sequence can be obtained, whose feasibility and performance are demonstrated through theoretical analysis. Our framework is compatible with various deterministic optimal control techniques, offering great flexibility and computational efficiency in a wide range of scenarios. To the best of our knowledge, our method provides the first scalable trajectory optimization scheme for high-dimensional stochastic systems under trajectory level chance constraints. We validate the proposed method through two numerical experiments.