Joint chance-constrained dynamic programming

This paper presents a novel joint chance-constrained dynamic programming algorithm, which explicitly bounds the probability of failure to satisfy given state constraints. Existing constrained dynamic programming approaches cannot handle a joint chance constraint since their application is limited to constraints in the same form as the cost function, that is, an expectation over a sum of one-stage costs. We overcome this challenge by reformulating the joint chance constraint into a constraint on an expectation over a sum of indicator functions, which can be incorporated into the cost function by dualizing the optimization problem. As a result, the primal variables can be optimized by a standard dynamic programming, while the dual variable is optimized by a root-finding algorithm that converges exponentially. Error bounds on the primal and dual objective values are rigorously derived. We demonstrate the algorithm on a path planning problem, as well as an optimal control problem for Mars entry, descent and landing. The simulations are conducted using a real terrain data of Mars, with four million discrete states at each time step.