Solutions to Probabilistic Constrained Optimal Control Problems Using Concentration Inequalities

Recently, optimal control problems subject to probabilistic
constraints have attracted much attention in many research field. Although
probabilistic constraints are generally intractable in optimization problems,
several methods haven been proposed to deal with probabilistic constraints.
In most methods, probabilistic constraints are transformed to deterministic
constraints that are tractable in optimization problems. This paper examines
a method for transforming probabilistic constraints into deterministic
constraints for a class of probabilistic constrained optimal control problems.

Authors:

• Tomoaki Hashimoto

Keywords:

• Optimal control
• stochastic systems
• discrete-time systems
• probabilistic constraints.

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