Linear Theory for Control of Nonlinear Stochastic Systems

Hilbert J. Kappen
Phys. Rev. Lett. 95, 200201 – Published 7 November 2005

Abstract

We address the role of noise and the issue of efficient computation in stochastic optimal control problems. We consider a class of nonlinear 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 exists 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 a Laplace approximation, and can therefore be used to solve high dimensional stochastic control problems.

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  • Received 12 November 2004

DOI:https://doi.org/10.1103/PhysRevLett.95.200201

©2005 American Physical Society

Authors & Affiliations

Hilbert J. Kappen*

  • Department of Medical Physics & Biophysics, Radboud University, Geert Grooteplein 21 6525 EZ Nijmegen, The Netherlands†

  • *Email address: B.Kappen@science.ru.nl
  • Electronic address: http://www.snn.kun.nl/~bert

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Issue

Vol. 95, Iss. 20 — 11 November 2005

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