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math.OC2025
The LQR-Schr{ö}dinger Bridge
Marc Lambert
We consider the Schr{ö}dinger bridge problem in discrete time, where the pathwise cost is replaced by a sum of quadratic functions, taking the form of a linear quadratic regulator…
math.OC2024
Variational Dynamic Programming for Stochastic Optimal Control
Marc Lambert, Francis Bach, Silvère Bonnabel
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is a…