A deterministic McKean-Pontryagin minimum principle is formulated for stochastic optimal control via auxiliary functions that enable Hamiltonian structure and time-decoupling.
Ensemble Kalman-Bucy filtering for no nlinear model predictive control
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The authors derive forward mean-field equations that integrate ensemble Kalman filtering with McKean-Pontryagin control to enable simultaneous online data assimilation and optimal control for partially observed stochastic systems, with numerical tests on Lorenz-63, Lorenz-96, and an inverted-pendul
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On a mean-field Pontryagin minimum principle for stochastic optimal control
A deterministic McKean-Pontryagin minimum principle is formulated for stochastic optimal control via auxiliary functions that enable Hamiltonian structure and time-decoupling.
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Digital Twins: McKean-Pontryagin Control for Partially Observed Physical Twins
The authors derive forward mean-field equations that integrate ensemble Kalman filtering with McKean-Pontryagin control to enable simultaneous online data assimilation and optimal control for partially observed stochastic systems, with numerical tests on Lorenz-63, Lorenz-96, and an inverted-pendul