Rough Stochastic Pontryagin Maximum Principle and an Indirect Shooting Method

arXiv:2502.06726 · math.OC, cs.RO, cs.SY, eess.SY, math.PR · Submitted 2025-02-10 · Read on arXiv

math.OC, cs.RO, cs.SY, eess.SY, math.PR

Submitted: 2025-02-10

Updated: 2026-09-21

Code: https://github.com/ToyotaResearchInstitute/rspmp

Terminology

• Pontryagin Maximum Principle — 11× in this paper
• Closed-Loop Control — 2× in this paper · explained in 3 episodes
• Computational Biology — 1× in this paper · explained in 2 episodes
• Conservation Laws — 1× in this paper · explained in 3 episodes
• Core — 1× in this paper · explained in 2 episodes
• Generalization — 1× in this paper · explained in 13 episodes
• Physical Constraints — 1× in this paper · explained in 7 episodes
• Robustness — 1× in this paper · explained in 5 episodes

Sources

• Convergence rates for ensemble-based solutions to optimal control of uncertain dynamical systems
• Deep Learning for Mean Field Games and Mean Field Control with Applications to Finance
• Stochastic Control with Signatures
• Parameter dependent rough SDEs with applications to rough PDEs
• Rough stochastic differential equations
• Pathwise convergence of the Euler scheme for rough and stochastic differential equations

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