SummaryA 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 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 nontrivial 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. Additionally, the method is tested on a complex chance constrained unmanned aerial vehicle problem. The results show that this new method can be used to reliably solve chance constrained optimal control problems.

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The problem of optimal path planning through narrow spaces in an unstructured environment is considered. The optimal path planning problem for a Dubins agent is formulated as a chance-constrained optimal control problem (CCOCP), wherein the uncertainty in obstacle boundaries is modelled using standard probability distributions. The chance constraints are transformed to deterministic equivalents using the inverse cumulative distribution function and subsequently incorporated into a deterministic optimal control problem. Due to multiple convex sub-regions introduced by the obstacles, the initial guess provided to optimal control solver is crucial for computation time and optimality of the solution. A constrained Delaunay triangulation mesh based approach is developed that ensures the initial guess to lie in the optimal sub-convex region. Finally, off-the-shelf software is used to transcribe the optimal control problem to a nonlinear program (NLP) using Gaussian quadrature orthogonal collocation and solved to obtain an optimal path that conforms to system dynamics. By varying the upper bound on probability of obstacle collision, a family of solutions is generated, parameterized by the risk associated with each solution. This approach enables discovery of special “keyhole trajectories” that can provide significant cost savings in a tightly-spaced obstacle field. Merits of this approach are illustrated by comparing it with the traditional bounded uncertainty approach.

A warm start method is developed for efficiently solving complex chance constrained optimal control problems. The warm start method addresses the computational challenges of solving chance constrained optimal control problems using biased kernel density estimators and Legendre-Gauss-Radau collocation with an $hp$ adaptive mesh refinement method. To address the computational challenges, the warm start method improves both the starting point for the chance constrained optimal control problem, as well as the efficiency of cycling through mesh refinement iterations. The improvement is accomplished by tuning a parameter of the kernel density estimator, as well as implementing a kernel switch as part of the solution process. Additionally, the number of samples for the biased kernel density estimator is set to incrementally increase through a series of mesh refinement iterations. Thus, the warm start method is a combination of tuning a parameter, a kernel switch, and an incremental increase in sample size. This warm start method is successfully applied to solve two challenging chance constrained optimal control problems in a computationally efficient manner using biased kernel density estimators and Legendre-Gauss-Radau collocation.