ppt - Kavraki Lab

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An Incremental Sampling-based Algorithm for
Stochastic Optimal Control
Martha Witick
Department of Computer Science
Rice University
Vu Anh Huynh, Sertac Karamanm Emilio Frazzoli. ICRA 2012.
Motion Planning!
•Continuous time
•Continuous state space
•Continuous controls
•Noisy.
MDPs?
S
Motivation
• Cnts-time, cnts space stochastic optimal control problem: no closed form,
exact algorithmic solutions
• Approximate cnts problem with discrete MDP and compute solution
• ... but exponential with number of state and control spaces
• Sampling-based methods: fast and effective, but...
• RRT: not optimal
• RRT*: no systems with uncertain dynamics
Overview
• Have a continuous time/space stochastic optimal control problem
• Want an optimal cost function J* and ultimately an optimal policy μ*
• Create a discrete-state Markov Decision Process and refine, iterating until the
current cost-to-go Ji* is close enough to J*
• What the iterative Markov Decision Process (iMDP) algorithm does.
Outline
• Continuous Stochastic Optimal Control Problem Definition
• Discrete Markov Chain approximation
• iMDP Algorithm
• iMDP Results
• Conclusion
Continuous Stochastic Dynamics
S ⊂ ℝdx
interior S0
smooth boundary δS
δS
S0
S
state x(t) ∊ S
control u(t)
time t ≥ 0
Consider a stochastic dynamical system that looks like this:
robot's dynamics
Continuous Stochastic Dynamics
S ⊂ ℝdx
interior S0
smooth boundary δS
δS
state x(t) ∊ S
control u(t)
time t ≥ 0
S0
S
Consider a stochastic dynamical system that looks like this:
robot's dynamics
noise
Continuous Stochastic Dynamics
S ⊂ ℝdx
interior S0
smooth boundary δS
δS
state x(t) ∊ S
control u(t)
time t ≥ 0
S0
S
Consider a stochastic dynamical system that looks like this:
robot's dynamics
noise
Continuous Stochastic Dynamics
S ⊂ ℝdx
interior S0
smooth boundary δS
δS
x
(
0
)
S0
S
Solutions looks like this until x(t) hits δS:
state x(t) ∊ S
control u(t)
time t ≥ 0
Continuous Stochastic Dynamics
S ⊂ ℝdx
interior S0
smooth boundary δS
δS
x
(
0
)
S0
S
Solutions looks like this until x(t) hits δS:
state x(t) ∊ S
control u(t)
time t ≥ 0
Continuous Stochastic Dynamics
S ⊂ ℝdx
interior S0
smooth boundary δS
δS
x
(
0
)
S0
S
Solutions looks like this until x(t) hits δS:
state x(t) ∊ S
control u(t)
time t ≥ 0
Continuous Stochastic Dynamics
S ⊂ ℝdx
interior S0
smooth boundary δS
δS
x
(
0
)
S0
S
state x(t) ∊ S
policy μ(t)
time t ≥ 0
A Markov control (or policy) μ(t): S→ℝ needs only state x(t).
Continuous Stochastic Dynamics
S ⊂ ℝdx
interior S0
smooth boundary δS
δS
x
(
0
)
S0
S
The expected cost-to-go function under policy μ
state x(t) ∊ S
policy μ(t)
time t ≥ 0
Continuous Stochastic Dynamics
S ⊂ ℝdx
interior S0
smooth boundary δS
δS
x
(
0
)
S0
S
The expected cost-to-go function under policy μ
first exit time
state x(t) ∊ S
policy μ(t)
time t ≥ 0
Continuous Stochastic Dynamics
S ⊂ ℝdx
interior S0
smooth boundary δS
δS
x
(
0
)
S0
S
The expected cost-to-go function under policy μ
discount rate α ∊ [0,1)
state x(t) ∊ S
policy μ(t)
time t ≥ 0
Continuous Stochastic Dynamics
S ⊂ ℝdx
interior S0
smooth boundary δS
δS
x
(
0
)
S0
S
The expected cost-to-go function under policy μ
cost rate function
state x(t) ∊ S
policy μ(t)
time t ≥ 0
Continuous Stochastic Dynamics
S ⊂ ℝdx
interior S0
smooth boundary δS
δS
x
(
0
)
S0
S
The expected cost-to-go function under policy μ
terminal cost function
state x(t) ∊ S
policy μ(t)
time t ≥ 0
Continuous Stochastic Dynamics
• We want the optimal cost-to-go function J*:
• We want to compute J* so we can get its optimal policy μ*
• But solving this continuous problem is hard.
Solving this is hard
• Lets make a discrete model!
Outline
• Continuous Stochastic Optimal Control Problem Definition
• Discrete Markov Chain approximation
• iMDP Algorithm
• iMDP Results
• Conclusion
Markov Chain Approximation
Approximate stochastic dynamics with a sequence of MDPs {Mn}∞n=0
Markov Chain Approximation
Approximate stochastic dynamics with a sequence of MDPs {Mn}∞n=0
Markov Chain Approximation
Approximate stochastic dynamics with a sequence of MDPs {Mn}∞n=0
Discretize states: grab finite set of states Sn from S
assign transition probabilities Pn
Discretize time: assign non-negative holding time Δtn(z) to each state z
Don't need to discretize controls.
Markov Chain Approximation
Local Consistency Property:
• For all states z ∊ S,
• For all states z ∊ S and all controls v ∊ U,
Markov Chain Approximation
Local Consistency Property:
• For all states z ∊ S,
• For all states z ∊ S and all controls v ∊ U,
Markov Chain Approximation
Local Consistency Property:
• For all states z ∊ S,
• For all states z ∊ S and all controls v ∊ U,
Markov Chain Approximation
Local Consistency Property:
• For all states z ∊ S,
• For all states z ∊ S and all controls v ∊ U,
Markov Chain Approximation
Local Consistency Property:
• For all states z ∊ S,
• For all states z ∊ S and all controls v ∊ U,
Markov Chain Approximation
Approximate stochastic dynamics with a sequence of MDPs {Mn}∞n=0
Control problem is analogous, so let's define a discrete discounted cost:
Continuous for comparison:
Markov Chain Approximation
Approximate stochastic dynamics with a sequence of MDPs {Mn}∞n=0
Discontinuity and Remarks
• F, f, g, and h can be discontinuous and still work
• While the controlled Markov chain has a discrete state structure and the
stochastic dynamical system has a continuous model, they BOTH have a
continuous control space.
Outline
• Continuous Stochastic Optimal Control Problem Definition
• Discrete Markov Chain approximation
• iMDP Algorithm
• iMDP Results
• Conclusion
iMDP Algorithm
Set 0th MDP M0 to empty
S0
δS
S
iMDP Algorithm
Set 0th MDP M0 to empty
while n < N do
nth MDP Mn <- (n-1)th MDP
S0
δS
S
iMDP Algorithm
Set 0th MDP M0 to empty
while n < N do
nth MDP Mn <- (n-1)th MDP
Sample state from δS and add it to
Mn
S0
zs
δS
S
iMDP Algorithm
Set 0th MDP M0 to empty
while n < N do
nth MDP Mn <- (n-1)th MDP
Sample state from δS and add it to
Mn
S0
δS
S
iMDP Algorithm
Set 0th MDP M0 to empty
while n < N do
nth MDP Mn <- (n-1)th MDP
Sample state from δS and add it to
Mn
Sample zs from S0
zs
S0
δS
S
iMDP Algorithm
Set 0th MDP M0 to empty
while n < N do
nth MDP Mn <- (n-1)th MDP
Sample state from δS and add it to
Mn
Sample zs from S0
Set znearest to nearest state in Sn
zs
S0
δS
znearest
S
iMDP Algorithm
zs
x:[0,t]
S0
δS
znearest
S
Set 0th MDP M0 to empty
while n < N do
nth MDP Mn <- (n-1)th MDP
Sample state from δS and add it to
Mn
Sample zs from S0
Set znearest to nearest state in Sn
Compute trajectory x:[0,t] with
control u from znearest to zs
iMDP Algorithm
zs
z
x:[0,t]
S0
δS
znearest
S
Set 0th MDP M0 to empty
while n < N do
nth MDP Mn <- (n-1)th MDP
Sample state from δS and add it to
Mn
Sample zs from S0
Set znearest to nearest state in Sn
Compute trajectory x:[0,t] with
control u from znearest to zs
Set z to x(0)
iMDP Algorithm
zs
z
x:[0,t]
S0
δS
znearest
S
Set 0th MDP M0 to empty
while n < N do
nth MDP Mn <- (n-1)th MDP
Sample state from δS and add it to
Mn
Sample zs from S0
Set znearest to nearest state in Sn
Compute trajectory x:[0,t] with
control u from znearest to zs
Set z to x(0) and add to Sn
iMDP Algorithm
z
S0
δS
znearest
S
Set 0th MDP M0 to empty
while n < N do
nth MDP Mn <- (n-1)th MDP
Sample state from δS and add it to
Mn
Sample zs from S0
Set znearest to nearest state in Sn
Compute trajectory x:[0,t] with
control u from znearest to zs
Set z to x(0) and add to Sn
Compute cost and save
Update() new z and Kn states in Sn
iMDP Algorithm: Update Loop
Update() new z and Kn states in Sn:
iMDP Algorithm: Update Loop
Update() new z and Kn states in Sn:
iMDP Algorithm: Update Loop
Update() new z and Kn states in Sn:
iMDP Algorithm: Update()
iMDP Algorithm: Update()
iMDP Algorithm: Update()
Uniformly sample or create Cn controls from z to nearest Cn states
iMDP Algorithm: Update()
For each control v in Un
iMDP Algorithm: Update()
Compute new transition probability to nearest log(Sn) states Znear
iMDP Algorithm: Update()
iMDP Algorithm: Update()
holding time tau
iMDP Algorithm: Update()
cost rate function g
iMDP Algorithm: Update()
discount rate alpha
iMDP Algorithm: Update()
Expected cost-to-go to Znear under n-th policy
iMDP Algorithm: Update()
iMDP Algorithm: Update()
If the new cost J is less then the old cost
iMDP Algorithm: Update()
Update z's cost, policy, holding time, and number of states in Sn
iMDP Algorithm
z
S
δS
znearest
S
Set 0th MDP M0 to empty
while n < N do
nth MDP Mn <- (n-1)th MDP
Sample state from δS and add it to
Mn
Sample zs from S0
Set znearest to nearest state in Sn
Compute trajectory x:[0,t] with
control u from znearest to zs
Set z to x(0) and add to Sn
Compute cost and save
Update() new z and Kn states in Sn
n=n+1
IMDP: Generating a Policy
iMDP Time Complexity
• |Sn|Ѳ states updated and log(|Sn|) controls processed per iteration
• Time Complexity when Pn constructed with linear equations:
O(n |Sn|Ѳ log |Sn| )
• Time Complexity when Pn constructed with Gaussian distribution:
O(n |Sn|Ѳ (log |Sn|)2 )
• Space Complexity: O(|Sn|)
• State Space Size:
|Sn| = Θ(n)
iMDP Analysis
iMDP Analysis
iMDP Analysis
iMDP Analysis
Outline
• Continuous Stochastic Optimal Control Problem Definition
• Discrete Markov Chain approximation
• iMDP Algorithm
• iMDP Results
• Conclusion
Results
Experiment (a): convergence of iMDP applied to a stochastic LQR problem
With dynamics dx =
Results
Experiment (a): convergence of iMDP applied to a stochastic LQR problem
With dynamics dx =
Results
Experiment (b): A system with stochastic single integrator dynamics to a goal region
(upper right) with free ending time in a cluttered environment.
Results
•Experiment (c): Noise-free versus noisy. σ = 0.37
Note that (b) failed to find a valid trajectory.
Conclusions
• The iMDP algorithm:
• incrementally builds discrete MDPs to approximate continuous problems
• Improves cost every iteration (value iteration), novel approach to computing
Bellman updates
• has a fast total processing time O(k^1+0 log k)
• Remove necessity for point-to-point steering of RRT (e.g. RRT*)
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