A deterministic McKean-Pontryagin minimum principle is formulated for stochastic optimal control via auxiliary functions that enable Hamiltonian structure and time-decoupling.
Control Systems and Reinforcement Learning
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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.