A Martingale Approach and Time-Consistent Sampling-based Algorithms for Risk Management in Stochastic Optimal Control

In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk constraint into a martingale to construct time-consistent control policies. The martingale stands for the level of risk tolerance over time. By augmenting the system dynamics with the controlled martingale, the original risk-constrained problem is transformed into a stochastic target problem. We extend the incremental Markov Decision Process (iMDP) algorithm to approximate arbitrarily well an optimal feedback policy of the original problem by sampling in the augmented state space and computing proper boundary conditions for the reformulated problem. We show that the algorithm is both probabilistically sound and asymptotically optimal. The performance of the proposed algorithm is demonstrated on motion planning and control problems subject to bounded probability of collision in uncertain cluttered environments.

An Incremental Sampling-based Algorithm for Stochastic Optimal Control

In this paper, we consider a class of continuous-time, continuous-space stochastic optimal control problems. Building upon recent advances in Markov chain approximation methods and sampling-based algorithms for deterministic path planning, we propose a novel algorithm called the incremental Markov Decision Process (iMDP) to compute incrementally control policies that approximate arbitrarily well an optimal policy in terms of the expected cost. The main idea behind the algorithm is to generate a sequence of finite discretizations of the original problem through random sampling of the state space. At each iteration, the discretized problem is a Markov Decision Process that serves as an incrementally refined model of the original problem. We show that with probability one, (i) the sequence of the optimal value functions for each of the discretized problems converges uniformly to the optimal value function of the original stochastic optimal control problem, and (ii) the original optimal value function can be computed efficiently in an incremental manner using asynchronous value iterations. Thus, the proposed algorithm provides an anytime approach to the computation of optimal control policies of the continuous problem. The effectiveness of the proposed approach is demonstrated on motion planning and control problems in cluttered environments in the presence of process noise.