Inverse stochastic control via generalized Schrödinger problems
Abstract
We propose a variational formulation of an inverse problem in continuous-time stochastic control, aimed at identifying control costs consistent with a given distribution over trajectories. The formulation is based on minimizing the suboptimality gap of observed behavior. We establish a connection between the inverse problem and a generalized dynamic Schrödinger problem, showing that their optimal values coincide. This result links inverse stochastic control with stochastic optimal transport, offering a new conceptual viewpoint on inverse inference in controlled diffusions.
Fields of Study & Subjects
Stochastic processes and financial applications
Geometric Analysis and Curvature Flows
Adaptive Dynamic Programming Control
Publication details
- Journal / source
- Systems & Control Letters
- Volume
- 219
- Pages
- 106614–106614
- Publication date
- 14 October 2026
- Language
- EN