Unified Optimality Conditions for Stochastic Optimal Control in the Rough Path and It\^o Frameworks

Abstract:Stochastic differential equations (SDEs) can be studied via Itô calculus and rough path theory. For stochastic optimal control, these two frameworks give distinct Pontryagin Maximum Principle (PMP) optimality conditions with forward-backward SDEs (FBSDEs) or rough differential equations. We show that the adjoint equations of the Itô and rough PMPs are connected via the conditional expectation $p_t^{\text{Itô}}=\mathbb{E}[p_t^{\text{rough}} \mid \mathcal{F}_t]$, where $\mathcal{F}_t$ represents information available at time $t$. First, we derive a rough stochastic PMP for problems with adapted controls that does not use FBSDEs. Its proof extends the rough stochastic PMP over deterministic controls by considering stochastic needle variations. Second, we derive a unified PMP connecting the Itô and rough PMPs, using Itô-Stratonovich conversion formulas and duality identities between the forward tangent and backward adjoint SDEs. As a first application, we rederive the adjoint matching method for fine-tuning generative models. As a second application, we propose an indirect shooting method for a class of feedback problems. Overall, these results give a new conditional bridge connecting two popular frameworks for stochastic optimal control.

Optimization and Control (math.OC); Machine Learning (cs.LG); Robotics (cs.RO); Systems and Control (eess.SY); Probability (math.PR)

arXiv:2609.38395 [math.OC]

(or arXiv:2609.38395v1 [math.OC] for this version)

https://doi.org/10.48550/arXiv.2609.38395 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

arXivLabs is a framework that allows collaborators to develop and share new arXiv features directly on our website.

Both individuals and organizations that work with arXivLabs have embraced and accepted our values of openness, community, excellence, and user data privacy. arXiv is committed to these values and only works with partners that adhere to them.

Have an idea for a project that will add value for arXiv's community? Learn more about arXivLabs.