Related papers: Generative optimal transport via forward-backward …
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
A paradigm for isothermal, mechanical rectification of stochastic fluctuations is introduced in this paper. The central idea is to transform energy injected by random perturbations into rigid-body rotational kinetic energy. The prototype…
We a controlled system driven by a coupled forward-backward stochastic differential equation (FBSDE) with a non degenerate diffusion matrix. The cost functional is defined by the solution of the controlled backward stochastic differential…
The late-time dynamics of quantum many-body systems is organized in distinct dynamical universality classes, characterized by their conservation laws and thus by their emergent hydrodynamic transport. Here, we study transport in the…
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a…
The aim of this work is to develop a deep learning method for solving high-dimensional stochastic control problems based on the Hamilton--Jacobi--Bellman (HJB) equation and physics-informed learning. Our approach is to parameterize the…
This paper considers linear-quadratic control of a non-linear dynamical system subject to arbitrary cost. I show that for this class of stochastic control problems the non-linear Hamilton-Jacobi-Bellman equation can be transformed into a…
Probabilistic generative models based on measure transport, such as diffusion and flow-based models, are often formulated in the language of Markovian stochastic dynamics, where the choice of the underlying process impacts both algorithmic…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
In this paper, we study the delayed stochastic recursive optimal control problem with a non-Lipschitz generator, in which both the dynamics of the control system and the recursive cost functional depend on the past path segment of the state…
This work reformulates language generation as a stochastic optimal control problem, providing a unified theoretical perspective to analyze autoregressive and diffusion models and explain their limitations (Efficiency-Fidelity Paradox,…
Efficient navigation in swarms often relies on the emergence of decentralized approaches that minimize traversal time or energy. Stigmergy, where agents modify a shared environment that then modifies their behavior, is a classic mechanism…
We consider the problem of sampling transition paths between two given metastable states of a molecular system, e.g. a folded and unfolded protein or products and reactants of a chemical reaction. Due to the existence of high energy…
In stochastic systems, numerically sampling the relevant trajectories for the estimation of the large deviation statistics of time-extensive observables requires overcoming their exponential (in space and time) scarcity. The optimal way to…
The solution to a stochastic optimal control problem can be determined by computing the value function from a discretization of the associated Hamilton-Jacobi-Bellman equation. Alternatively, the problem can be reformulated in terms of a…
Modern generative models can be understood as probability transport from a simple base distribution to a target data distribution. Deterministic transport models offer tractable velocity-field parameterizations, whereas stochastic…
This paper presents a novel operator-theoretic approach for optimal control of nonlinear stochastic systems within reproducing kernel Hilbert spaces. Our learning framework leverages data samples of system dynamics and stage cost functions,…
IIn this paper, we study a partially observed progressive optimal control problem of forward-backward stochastic differential equations with random jumps, where the control domain is not necessarily convex, and the control variable enter…
Compared to the existing function-based models in deep generative modeling, the recently proposed diffusion models have achieved outstanding performance with a stochastic-process-based approach. But a long sampling time is required for this…
We propose a reformulation of the problem of optimally controlled transitions in stochastic thermodynamics. We impose that any terminal cost specified by a thermodynamic functional should depend only on state variables and not on control…