PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

A linear theory for control of non-linear stochastic systems
Bert Kappen
Physical Review Letters 2005.

Abstract

We address the role of noise and the issue of efficient computation in stochastic optimal control problems. We consider a class of non-linear control problems that can be formulated as a path integral and where the noise plays the role of temperature. The path integral displays symmetry breaking and there exist a critical noise value that separates regimes where optimal control yields qualitatively different solutions. The path integral can be computed efficiently by Monte Carlo integration or by Laplace approximation, and can therefore be used to solve high dimensional stochastic control problems

EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
Theory & Algorithms
ID Code:1867
Deposited By:Bert Kappen
Deposited On:29 December 2005