Upper bounds for the reach-avoid probability via robust optimization

TL;DR

This paper develops a method to compute upper bounds for reach-avoid probabilities in stochastic systems using convex optimization, enabling better performance evaluation and control policy design in high-dimensional problems.

Contribution

It introduces a novel convex optimization framework leveraging Gaussian radial basis functions and structural assumptions to bound reach-avoid probabilities.

Findings

Upper bounds can be computed via semidefinite programs.

Bounds help compare and improve suboptimal control policies.

Method outperforms existing approximation techniques in high-dimensional settings.

Abstract

We consider finite horizon reach-avoid problems for discrete time stochastic systems. Our goal is to construct upper bound functions for the reach-avoid probability by means of tractable convex optimization problems. We achieve this by restricting attention to the span of Gaussian radial basis functions and imposing structural assumptions on the transition kernel of the stochastic processes as well as the target and safe sets of the reach-avoid problem. In particular, we require the kernel to be written as a Gaussian mixture density with each mean of the distribution being affine in the current state and input and the target and safe sets to be written as intersections of quadratic inequalities. Taking advantage of these structural assumptions, we formulate a recursion of semidefinite programs where each step provides an upper bound to the value function of the reach- avoid problem. The upper bounds provide a performance metric to which any suboptimal control policy can be compared, and can themselves be used to construct suboptimal control policies. We illustrate via numerical examples that even if the resulting bounds are conservative, the associated control policies achieve higher reach-avoid probabilities than heuristic controllers for problems of large state-input space dimensions (more than 20). The results presented in this paper, far exceed the limits of current approximation methods for reach-avoid problems in the specific class of stochastic systems considered.