TY - GEN
T1 - Dual Ensemble Kalman Filter for Stochastic Optimal Control
AU - Joshi, Anant A.
AU - Taghvaei, Amirhossein
AU - Mehta, Prashant G.
AU - Meyn, Sean P.
N1 - This work is supported in part by the AFOSR award FA9550-23-1- 0060 (Joshi, Mehta), by the National Science Foundation (NSF) award EPCN-2318977 (Taghvaei) and by CCF 2306023 (Meyn). We would like to thank Prof. Vivek Borkar for suggesting this direction of work and for many helpful discussions.
PY - 2024
Y1 - 2024
N2 - In this paper, stochastic optimal control problems in continuous time and space are considered. In recent years, such problems have received renewed attention from the lens of reinforcement learning (RL) which is also one of our motivation. The main contribution is a simulation-based algorithm - dual ensemble Kalman filter (EnKF) - to numerically approximate the solution of these problems. The paper extends our previous work where the dual EnKF was applied in deterministic settings of the problem. The theoretical results and algorithms are illustrated with numerical experiments.
AB - In this paper, stochastic optimal control problems in continuous time and space are considered. In recent years, such problems have received renewed attention from the lens of reinforcement learning (RL) which is also one of our motivation. The main contribution is a simulation-based algorithm - dual ensemble Kalman filter (EnKF) - to numerically approximate the solution of these problems. The paper extends our previous work where the dual EnKF was applied in deterministic settings of the problem. The theoretical results and algorithms are illustrated with numerical experiments.
UR - http://www.scopus.com/inward/record.url?scp=86000667541&partnerID=8YFLogxK
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U2 - 10.1109/CDC56724.2024.10886131
DO - 10.1109/CDC56724.2024.10886131
M3 - Conference contribution
AN - SCOPUS:86000667541
T3 - Proceedings of the IEEE Conference on Decision and Control
SP - 1917
EP - 1922
BT - 2024 IEEE 63rd Conference on Decision and Control, CDC 2024
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 63rd IEEE Conference on Decision and Control, CDC 2024
Y2 - 16 December 2024 through 19 December 2024
ER -