Forward-Backward Sweep Method for the System of HJB-FP Equations in Memory-Limited Partially Observable Stochastic Control

Abstract

Memory-limited partially observable stochastic control (ML-POSC) is the stochastic optimal control problem under incomplete information and memory limitation. To obtain the optimal control function of ML-POSC, a system of the forward Fokker-Planck (FP) equation and the backward Hamilton-Jacobi-Bellman (HJB) equation needs to be solved. In this work, we first show that the system of HJB-FP equations can be interpreted via Pontryagin's minimum principle on the probability density function space. Based on this interpretation, we then propose the forward-backward sweep method (FBSM) for ML-POSC. FBSM is one of the most basic algorithms for Pontryagin's minimum principle, which alternately computes the forward FP equation and the backward HJB equation in ML-POSC. Although the convergence of FBSM is generally not guaranteed in deterministic control and mean-field stochastic control, it is guaranteed in ML-POSC because the coupling of the HJB-FP equations is limited to the optimal control function in ML-POSC.