Inverse Stochastic Control via Generalized Schr\"odinger Problems
Optimization and Control
2026-03-19 v2
Abstract
We propose a variational formulation of an inverse problem in continuous-time stochastic control, aimed at identifying control costs consistent with a given distribution over trajectories. The formulation is based on minimizing the suboptimality gap of observed behavior. We establish a connection between the inverse problem and a generalized dynamic Schr\"odinger problem, showing that their optimal values coincide. This result links inverse stochastic control with stochastic optimal transport, offering a new conceptual viewpoint on inverse inference in controlled diffusions.
Cite
@article{arxiv.2601.09210,
title = {Inverse Stochastic Control via Generalized Schr\"odinger Problems},
author = {Yumiharu Nakano},
journal= {arXiv preprint arXiv:2601.09210},
year = {2026}
}