Trajectory Optimization for Chance-Constrained Nonlinear Stochastic Systems

This paper presents a new method of computing a sub-optimal solution of a continuous-time continuous-space chance-constrained stochastic nonlinear optimal control problem (SNOC) problem. The proposed method involves two steps. The first step is to derive a deterministic nonlinear optimal control problem (DNOC) with convex constraints that are surrogate to the SNOC by using generalized polynomial chaos (gPC) expansion and tools taken from chance-constrained programming. The second step is to solve the DNOC problem using sequential convex programming (SCP) for trajectory generation. We prove that in the unconstrained case, the optimal value of the DNOC converges to that of SNOC asymptotically and that any feasible solution of the constrained DNOC is a feasible solution of the chance-constrained SNOC because the gPC approximation of the random variables converges to the true distribution. The effectiveness of the gPC-SCP method is demonstrated by computing safe trajectories for a second-order planar robot model with multiplicative stochastic uncertainty entering at the input while avoiding collisions with a specified probability.