Risk-Aware Control of Discrete-Time Stochastic Systems: Integrating Kalman Filter and Worst-case CVaR in Control Barrier Functions

Masako Kishida

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arXiv · 2312.15638

Risk-Aware Control of Discrete-Time Stochastic Systems: Integrating Kalman Filter and Worst-case CVaR in Control Barrier Functions

Masako Kishida

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Abstract

This paper proposes control approaches for discrete-time linear systems subject to stochastic disturbances. It employs Kalman filter to estimate the mean and covariance of the state propagation, and the worst-case conditional value-at-risk (CVaR) to quantify the tail risk using the estimated mean and covariance. The quantified risk is then integrated into a control barrier function (CBF) to derive constraints for controller synthesis, addressing tail risks near safe set boundaries. Two optimization-based control methods are presented using the obtained constraints for half-space and ellipsoidal safe sets, respectively. The effectiveness of the obtained results is demonstrated using numerical simulations.

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BibTeX RIS

Masako Kishida. 2023-12-25. Risk-Aware Control of Discrete-Time Stochastic Systems: Integrating Kalman Filter and Worst-case CVaR in Control Barrier Functions. https://arxiv.org/abs/2312.15638

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