Stochastic optimal control as non-equilibrium statistical mechanics: calculus of variations over density and current

Abstract

In stochastic optimal control (SOC) one minimizes the average cost-to-go, that consists of the cost-of-control (amount of efforts), cost-of-space (where one wants the system to be) and the target cost (where one wants the system to arrive), for a system participating in forced and controlled Langevin dynamics. We extend the SOC problem by introducing an additional cost-of-dynamics, characterized by a vector potential. We propose derivation of the generalized gauge-invariant Hamilton-Jacobi–Bellman equation as a variation over density and current, suggest hydrodynamic interpretation and discuss examples, e.g., ergodic control of a particle-within-a-circle, illustrating non-equilibrium space-time complexity.