Forward Reachability for Discrete-Time Nonlinear Stochastic Systems via Mixed-Monotonicity and Stochastic Order

Abstract: We present a method to overapproximate forward stochastic reach sets of discrete-time, stochastic nonlinear systems with interval geometry. This is made possible by extending the theory of mixed-monotone systems to incorporate stochastic orders, and a concentration inequality result that lower-bounds the probability the state resides within an interval through a monotone mapping. Then, we present an algorithm to compute the overapproximations of forward reachable set and the probability the state resides within it. We present our approach on two aerospace examples to show its efficacy.