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math.OC2026
On a mean-field Pontryagin minimum principle for stochastic optimal control
Manfred Opper, Sebastian Reich
This paper outlines a novel extension of the classical Pontryagin minimum (maximum) principle to stochastic optimal control problems. Contrary to the well-known stochastic Pontryag…
math.OC2026
Digital Twins: McKean-Pontryagin Control for Partially Observed Physical Twins
Manfred Opper, Sebastian Reich
Optimal control for fully observed diffusion processes is well established and has led to numerous numerical implementations based on, for example, Bellman's principle, model free…
math.OC2025
Ensemble Kalman-Bucy filtering for nonlinear model predictive control
Sebastian Reich
We consider the problem of optimal control for partially observed dynamical systems. Despite its prevalence in practical applications, there are still very few algorithms available…