A Convex Optimization Approach to Chance-Constrained Linear Stochastic Drift Counteraction Optimal Control

In this paper, we propose a convex optimization approach to chance-constrained drift counteraction optimal control (DCOC) problems for linear systems with additive stochastic disturbances. Chance-constrained DCOC aims to compute an optimal control law to maximize the time duration before the probability of violating a prescribed set of constraints can no longer be maintained to be below a specified risk level. While conventional approaches to this problem involve solving a mixed-integer programming problem, we show that an optimal solution to the problem can also be found by solving a convex second-order cone programming problem without integer variables. We illustrate the application of chance-constrained DCOC to an automotive adaptive cruise control example.