Stochastic optimal control as non-equilibrium statistical mechanics: calculus of variations over density and current

DOI10.1088/1751-8113/47/2/022001zbMath1285.82032arXiv1306.6572OpenAlexW2049403211MaRDI QIDQ5402192

Joris Bierkens, Vladimir Y. Chernyak, Michael Chertkov, Hilbert J. Kappen

Publication date: 6 March 2014

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.6572

zbMATH Keywords

stochastic optimal controlgauge transformationsnon-equilibrium statistical physicsBellman-Hamilton-Jacobi equation

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Quantum dynamics and nonequilibrium statistical mechanics (general) (82C10) Hamilton-Jacobi theories (49L99) Hamilton-Jacobi equations (35F21)

Related Items (5)

Variational and optimal control representations of conditioned and driven processes ⋮ Linear PDEs and eigenvalue problems corresponding to ergodic stochastic optimization problems on compact manifolds ⋮ Variational estimation of the drift for stochastic differential equations from the empirical density ⋮ Adaptive sampling of large deviations ⋮ Canonical structure and orthogonality of forces and currents in irreversible Markov chains

This page was built for publication: Stochastic optimal control as non-equilibrium statistical mechanics: calculus of variations over density and current