Stochastic optimal control theory
نویسنده
چکیده
Control theory is a mathematical description of how to act optimally to gain future rewards. In this paper I give an introduction to deterministic and stochastic control theory; partial observability, learning and the combined problem of inference and control. Subsequently, I discuss a class of non-linear stochastic control problems that can be efficiently solved using a path integral. In this control formalism the central concept of cost-to-go becomes a free energy and methods and concepts from probabilistic graphical models and statistical physics can be readily applied. I illustrate the theory with a number of examples. Jointly with Marc Toussaint. TU Berlin
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