This paper proposes a strictly convex chance-constrained stochastic control framework that accounts for uncertainty in control specifications such as reference trajectories and operational constraints. Control inputs and risk allocation are jointly optimized under general, possibly non-Gaussian, uncertainties through sufficient deterministic conditions for probabilistic constraint satisfaction. A decreasing risk regularizer ensures existence and full use of the allowable risk. Under the stated regularity assumptions, the joint solution is unique and locally Lipschitz-continuous, supporting stable numerical optimization. The formulation is extended to learning-based exactly linearizable (EL) models through monotone state and input transformations. A hybrid powertrain example compares deterministic control, equal risk allocation, and optimized risk allocation with and without regularization in terms of charge sustaining, constraint violations, closed-loop cost, and solver time.
Figures & tables
Method
Specification uncertainty
Chance constraints
Non-Gaussian
Strict convexity
Nonlinear dynamics
[ 7 ]
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[ 8 ]
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[ 9 ]
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[ 3 ]
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[ 12 , 13 , 14 ]
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[ 15 ]
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TABLE I: Comparison with existing studies
Fig. 1: EL model
Fig. 2: Closed-loop control responses.
Item
Value
Sampling time
0.1 s
Prediction horizon length N
10
Number of simulation steps
447 ( 44.7 s)
Initial state [τ0eng,ds,V0,Q0]
[50Nm,V0req,30Ah]
Speed-tracking weight wreq
10
Engine-command weight weng
1.0×10−3
TABLE II: Simulation settings
Fig. 3: Horizon-summed risk allocations and empirical violation probabilities.
Control method
Solver time [ms] Mean ± SD
Maximum time [ms]
Closed-loop cost (total)
QT−Q0 [Ah]
Deterministic
15.407±0.829
18.088
28.6566
−1.284
Equal risk
16.062±1.095
19.372
122.4649
+1.822
Optimized risk (regularized)
21.999±2.945
29.541
31.6265
+0.739
Optimized risk (unregularized)
29.542±7.313
109.605
35.6778
+0.432
TABLE III: Solver time and closed-loop performance
In this paper, we consider stochastic optimal control problems with infinite-horizon joint chance constraints. By means of an appropriate state augmentation, we reformulate the original problem as a constrained Markov decision process, in which both the cost and the constraint function exhibit an additive structure. We then prove that this formulation enjoys strong duality, thereby enabling us to reformulate the problem as an equivalent unconstrained one in the Lagrange dual framework. We propose a dual-ascent algorithm to solve the resulting problem and show that it converges to a deterministic Markov policy defined over the augmented state space that is both optimal and feasible. To accommodate continuous state-input spaces, we propose a dedicated learning algorithm to approximate the value function in an offline training setting, thereby significantly reducing the computational complexity of the online control phase. We then test our approach on a numerical example and demonstrate its effectiveness compared to online predictive control methods in terms of performance and computational complexity.
Francesco Cordiano, Kanghui He, Bart De Schutter
Delft Center for Systems and Control, Delft University of Technology, 2628 CD, Delft, The Netherlands · Department of Engineering Science, University of Oxford, OX1 3PJ Oxford, U.K.
In this paper, we present an equivalent convex optimization formulation for discrete-time stochastic linear systems subject to linear chance constraints, alongside a tight convex relaxation for quadratic chance constraints. By lifting the state vector to encode moment information explicitly, the formulation captures linear chance constraints on states and controls across multiple time steps exactly, without conservatism, yielding strict improvements in both feasibility and optimality. For quadratic chance constraints, we derive convex approximations that are provably less conservative than existing methods. We validate the framework on minimum-snap trajectory generation for a quadrotor, demonstrating that the proposed approach remains feasible at noise levels an order of magnitude beyond the operating range of prior formulations.
Tanmay Dokania, Yashwanth Kumar Nakka
Authors are with the Daniel Guggenheim School of Aerospace Engineering at the Georgia Institute of Technology, Atlanta, GA, 30332 USA.
Stochastic constrained decision-making requires optimizing performance objectives while enforcing statistical requirements such as safety or fairness. However, standard primal--dual methods struggle to update multipliers robustly under stochastic mini-batch feedback, as the noise of mini-batch gradients and constraint estimates can be directly accumulated into the multiplier memory. To address this issue, we propose Residual-Controlled Multiplier Learning (RCML), which reformulates multiplier updating as projected-pressure feedback. The central idea is to decompose the projected multiplier into an effective pressure signal for primal descent and a pressure-memory residual for finite-gain multiplier tracking. To handle heterogeneous and noisy observations, we further augment this residual-integral backbone with modular stochastic stabilization components. For the convex-affine backbone, we establish finite-gain convergence, derive a stochastic residual bound under mini-batch feedback, and show that the residual feedback law admits a local KKT-residual interpretation near regular KKT points of nonconvex problems. Experiments across optimization, allocation, and fair-ranking tasks show that RCML improves feasibility control and multiplier stability while maintaining competitive objective performance. Code is released at https://anonymous.4open.science/r/RCML-3114/.
Kang Liu, Jianchen Hu, Ziyu Qu +3
School of Future Technology Xi’an Jiaotong University Xi’an, China, 710049 · School of Automation Science and Engineering Xi’an Jiaotong University Xi’an, China, 710049 · School of Mathematics and Physics China University of Geosciences Wuhan, China, 430074 +2