Probabilistic Reachability of Discrete-Time Nonlinear Stochastic Systems
<|reference_start|>Probabilistic Reachability of Discrete-Time Nonlinear Stochastic Systems: In this paper we study the reachability problem for discrete-time nonlinear stochastic systems. Our goal is to present a unified framework for calculating the probabilistic reachable set of discrete-time systems in the presence of both deterministic input and stochastic noise. By adopting a suitable separation strategy, the probabilistic reachable set is decoupled into a deterministic reachable set and the effect of the stochastic noise. To capture the effect of the stochastic noise, in particular sub-Gaussian noise, we provide a probabilistic bound on the distance between a stochastic trajectory and its deterministic counterpart. The key to our approach is a novel energy function called the Averaged Moment Generating Function, which we leverage to provide a high probability bound on this distance. We show that this probabilistic bound is tight for a large class of discrete-time nonlinear stochastic systems and is exact for linear stochastic dynamics. By combining this tight probabilistic bound with the existing methods for deterministic reachability analysis, we propose a flexible framework that can efficiently compute probabilistic reachable sets of stochastic systems. We also provide two case studies for applying our framework to Lipschitz bound reachability and interval-based reachability. Three numerical experiments are conducted to validate the theoretical results.<|reference_end|>
@article{liu2024probabilistic,
    title={Probabilistic Reachability of Discrete-Time Nonlinear Stochastic Systems},
    author={Zishun Liu, Saber Jafarpour, Yongxin Chen},
    journal={arXiv preprint arXiv:2409.09334},
    year={2024},
    archivePrefix={arXiv},
    eprint={2409.09334},
    primaryClass={eess.SY cs.SY math.OC}
}