Partially Observed Stochastic Optimal Control

A Pontryagin Maximum Principle on the Belief Space for Continuous-Time Stochastic Optimal Control with Discrete Observations

Saifeddine Ben Naamia, Ph.D. student, Department of Mathematics, RWTH Aachen University

Feb 17, 14:00 - 15:00

Partially Observed Stochastic Optimal Control

Abstract This talk presents joint work with Christian Bayer, Saifeddine Ben Naamia, Erik von Schwerin, and Raúl Tempone on continuous-time stochastic optimal control under partial observations available only at discrete time instants. We formulate the problem on the space of beliefs, using the controller’s posterior distribution as the state variable, and derive a Pontryagin maximum principle that accounts for continuous evolution between observations and Bayesian jump updates at observation times. A key result links the adjoint process to the gradient of the value functional on the belief