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arxivmath.OCcs.ITcs.RO2026-07-18

Relative Entropy-Bounded Ambiguous Chance Constraints for Robust Planning in Nonlinear Systems

Trevor N. Wolf, Jay W. McMahon

We consider defining risk probability in stochastic control problems under distribution ambiguity. Current approaches for chance-constrained control typically assume that the true state distribution is known and Gaussian distributed. These assumptions are not amenable to many real-world engineering applications where system dynamics are nonlinear and only approximately modeled. In this work, we define a distribution ambiguity set and, with a variational expression for exponential integrals, bound the expected risk value under an unknown distribution that resides within a relative entropy distance of a nominal Gaussian reference distribution. Our bound recovers the reference risk value in the zero-divergence limit. A method is presented to determine the relative entropy distance defining the ambiguity set that is a function of the reference covariance evolution and second-order dynamical truncation errors. The resulting contributions provide a framework for handling distributional ambiguity in nonlinear covariance steering problems. A stochastic spacecraft guidance example is presented to demonstrate our contributions.

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