Sample Truncation for Scenario Approach to Closed-loop Chance Constrained Trajectory Optimization for Linear Systems

Abstract: This paper studies closed-loop chance constrained control problems with disturbance feedback (equivalently state feedback) where state and input vectors must remain in a prescribed polytopic safe region with a predefined confidence level. We propose to use a scenario approach where the uncertainty is replaced with a set of random samples (scenarios). Though a standard form of scenario approach is applicable in principle, it typically requires a large number of samples to ensure the required confidence levels. To resolve this drawback, we propose a method to reduce the computational complexity by eliminating the redundant samples and, more importantly, by truncating the less informative samples. Unlike the prior methods that start from the full sample set and remove the less informative samples at each step, we sort the samples in a descending order by first finding the most dominant ones. In this process the importance of each sample is measured via a proper mapping. Then the most dominant samples can be selected based on the allowable computational complexity and the rest of the samples are truncated offline. The truncation error is later compensated for by adjusting the safe regions via properly designed buffers, whose sizes are functions of the feedback gain and the truncation error.