A Method For Solving Optimal Control Problems Subject To Probabilistic Affine State Constraints For Linear Discrete-Time Uncertain Systems
Recently, optimal control problems subject to probabilistic constraints have attracted much attention in many
research fields. Although it is not straightforward to handle probabilistic constraints in an optimization problem, several
methods haven been proposed to handle probabilistic constraints. This paper examines probabilistic constrained optimal
control problems for linear discrete-time systems under uncertain disturbances with unknown probability distributions. The
objective of this paper is to provide a method for solving the optimal control problems subject to probabilistic affine state
Index Terms — Optimal Control, Stochastic Systems, Discrete-Time Systems, Probabilistic Constraints.