Repository: Freie Universit├Ąt Berlin, Math Department

Connecting Stochastic Optimal Control and Reinforcement Learning

Quer, Jannes and Ribera Borrell, Enric (2024) Connecting Stochastic Optimal Control and Reinforcement Learning. Submitted Preprint . (Submitted)

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Official URL: https://doi.org/10.48550/arXiv.2211.02474

Abstract

In this paper the connection between stochastic optimal control and reinforcement learning is investigated. Our main motivation is to apply importance sampling to sampling rare events which can be reformulated as an optimal control problem. By using a parameterised approach the optimal control problem becomes a stochastic optimization problem which still raises some open questions regarding how to tackle the scalability to high-dimensional problems and how to deal with the intrinsic metastability of the system. To explore new methods we link the optimal control problem to reinforcement learning since both share the same underlying framework, namely a Markov Decision Process (MDP). For the optimal control problem we show how the MDP can be formulated. In addition we discuss how the stochastic optimal control problem can be interpreted in the framework of reinforcement learning. At the end of the article we present the application of two different reinforcement learning algorithms to the optimal control problem and a comparison of the advantages and disadvantages of the two algorithms.

Item Type:Article
Subjects:Mathematical and Computer Sciences
Mathematical and Computer Sciences > Mathematics
Mathematical and Computer Sciences > Mathematics > Applied Mathematics
Divisions:Department of Mathematics and Computer Science > Institute of Mathematics
ID Code:3112
Deposited By: Lukas-Maximilian Jaeger
Deposited On:20 Feb 2024 08:23
Last Modified:20 Feb 2024 08:23

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