Dispersion Sensitive Optimal Control: A Conditional Value-at-Risk-Based Tail Flattening Approach via Sequential Convex Programming

In this brief, we propose a sequential convex programming (SCP) framework for minimizing the terminal state dispersion of a stochastic dynamical system about a prescribed destination—an important property in high-risk contexts such as spacecraft landing. Our proposed approach seeks to minimize the conditional value-at-risk (CVaR) of the dispersion, thereby shifting the probability distribution away from the tails. This approach provides an optimization framework that is not overly conservative and can accurately capture more information about true distribution, compared with methods which consider only the expected value, or robust optimization methods. The main contribution of this brief is to present an approach that: 1) establishes an optimization problem with CVaR dispersion cost 2) approximated with one of the two novel surrogates which is then 3) solved using an efficient SCP algorithm. In 2), two approximation methods, a sampling approximation (SA) and a symmetric polytopic approximation (SPA), are introduced for transforming the stochastic objective function into a deterministic form. The accuracy of the SA increases with sample size at the cost of problem size and computation time. To overcome this, we introduce the SPA, which avoids sampling by using an alternative approximation and thus offers significant computational benefits. Monte Carlo simulations indicate that our proposed approaches minimize the CVaR of the dispersion successfully.

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Publication Details

Journal
IEEE Transactions on Control Systems Technology
Published
2024-08-26
DOI
https://doi.org/10.1109/tcst.2024.3427910
Citations
3
Primary Topic
Risk and Portfolio Optimization
Type
article
Field-Weighted Citation Impact
1.47

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article

Dispersion Sensitive Optimal Control: A Conditional Value-at-Risk-Based Tail Flattening Approach via Sequential Convex Programming

Kazuya Echigo, Samuel C. Buckner, Behçet Açıkmeşe, Oliver Sheridan
3 citations
IEEE Transactions on Control Systems Technology
Risk and Portfolio Optimization
1.47
article

Dispersion Sensitive Optimal Control: A Conditional Value-at-Risk-Based Tail Flattening Approach via Sequential Convex Programming

Kazuya Echigo, Samuel C. Buckner, Behçet Açıkmeşe, Oliver Sheridan
article en
3 citations

Abstract

In this brief, we propose a sequential convex programming (SCP) framework for minimizing the terminal state dispersion of a stochastic dynamical system about a prescribed destination—an important property in high-risk contexts such as spacecraft landing. Our proposed approach seeks to minimize the conditional value-at-risk (CVaR) of the dispersion, thereby shifting the probability distribution away from the tails. This approach provides an optimization framework that is not overly conservative and can accurately capture more information about true distribution, compared with methods which consider only the expected value, or robust optimization methods. The main contribution of this brief is to present an approach that: 1) establishes an optimization problem with CVaR dispersion cost 2) approximated with one of the two novel surrogates which is then 3) solved using an efficient SCP algorithm. In 2), two approximation methods, a sampling approximation (SA) and a symmetric polytopic approximation (SPA), are introduced for transforming the stochastic objective function into a deterministic form. The accuracy of the SA increases with sample size at the cost of problem size and computation time. To overcome this, we introduce the SPA, which avoids sampling by using an alternative approximation and thus offers significant computational benefits. Monte Carlo simulations indicate that our proposed approaches minimize the CVaR of the dispersion successfully.

IEEE Transactions on Control Systems TechnologyVol. 32(6)
University of Washington (US), American Institute of Aeronautics and Astronautics (US)
Office of Naval Research, Air Force Office of Scientific Research
Climate action
Openalex Percentile: Top 16%
Risk and Portfolio Optimization
1.47
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