Probabilistic ODE Solvers for Integration Error-Aware Numerical Optimal Control

Abstract: Appropriate time discretization is crucial for real-time applications of numerical optimal control, such as nonlinear model predictive control. However, if the discretization error strongly depends on the applied control input, meeting accuracy and sampling time requirements simultaneously can be challenging using classical discretization methods. In particular, neither fixed-grid nor adaptive-grid discretizations may be suitable, when they suffer from large integration error or exceed the prescribed sampling time, respectively. In this work, we take a first step at closing this gap by utilizing probabilistic numerical integrators to approximate the solution of the initial value problem, as well as the computational uncertainty associated with it, inside the optimal control problem (OCP). By taking the viewpoint of probabilistic numerics and propagating the numerical uncertainty in the cost, the OCP is reformulated such that the optimal input reduces the computational uncertainty insofar as it is beneficial for the control objective. The proposed approach is illustrated using a numerical example, and potential benefits and limitations are discussed.