mlsanityData to 14 Oct 2026

Pathwise Relaxed Optimal Control of Rough Differential Equations

arXiv 2402.17900 ↗First posted 27 Feb 2024math.OC cs.SY eess.SYcited by 1

On the map: Deep reinforcement learning methods → RL theory and sample complexity

Abstract (arXiv)

This note lays part of the theoretical ground for a definition of differential systems modeling reinforcement learning in continuous time non-Markovian rough environments. Specifically we focus on optimal relaxed control of rough equations (the term relaxed referring to the fact that controls have to be considered as measure valued objects). With reinforcement learning in view, our reward functions encompass forms that involve an entropy-type term favoring exploration. In this context, our contribution focuses on a careful definition of the corresponding relaxed Hamilton-Jacobi-Bellman (HJB)-type equation. A substantial part of our endeavor consists in a precise definition of the notion of test function and viscosity solution for the rough relaxed PDE obtained in this framework. Note that this task is often merely sketched in the rough viscosity literature, in spite of the fact that it gives a proper meaning to the differential system at stake. In the last part of the paper we prove that the natural value function in our context solves a relaxed rough HJB equation in the viscosity sense.

Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). Placed in RL theory and sample complexity, one of 15 directions in Deep reinforcement learning methods. Builds on 7 of its 41 references that are in the map. First posted on arXiv 27 Feb 2024.

Builds on

7 of 41 references.

References · 7

  1. 2020Neural Controlled Differential Equations for Irregular Time Seriescited by 506
  2. 2022On Neural Differential Equationscited by 268
  3. 2017A unified view of entropy-regularized Markov decision processescited by 182
  4. 2020Neural Rough Differential Equations for Long Time Seriescited by 143
  5. 2023A Neural RDE approach for continuous-time non-Markovian stochastic control problemscited by 14
  6. 2020Solving non-Markovian Stochastic Control Problems driven by Wiener Functionalscited by 1
  7. 2023Pathwise stochastic control and a class of stochastic partial differential equationscited by 1

Built on by

Cited by year (2026 to 14 Oct)

Citing papers per year: 2026: 1.

1 paper.

Similar, not cited

Close in wording, no citation either way

  1. 2026Unifying Hamilton-Jacobi Reachability and Reinforcement Learning
  2. 2024On the continuity and smoothness of the value function in reinforcement learning and optimal control
  3. 2024On the stability of Lipschitz continuous control problems and its application to reinforcement learning
  4. 2025Robust Control with Gradient Uncertainty
  5. 2025Is Bellman Equation Enough for Learning Control?
  6. 2025A Temporal Difference Method for Stochastic Continuous Dynamics
  7. 2026Learning to Solve Stochastic Controls with Unknown Drifts and Running Rewards: Theory, Algorithms and Convergence
  8. 2026Reachability-Preserving Bellman Operator for the Discounted Reach-Cost Value Function: Uniting Hamilton-Jacobi Reachability and Reinforcement Learning