Abstract:Without exact knowledge of the true system dynamics, optimal control of non-linear continuous-time systems requires careful treatment of epistemic uncertainty. In this work, we propose a probabilistic extension to Pontryagin's maximum principle by minimizing the mean Hamiltonian with respect to epistemic uncertainty. We show minimization of the mean Hamiltonian is a necessary optimality condition when optimizing the mean cost, and propose a multiple shooting numerical method scalable to large-scale probabilistic dynamical models, including ensemble neural ordinary differential equations. Comparisons against state-of-the-art methods in online and offline model-based reinforcement learning tasks show that our probabilistic Hamiltonian formulation leads to reduced trial costs in offline settings and achieves competitive performance in online scenarios. By bridging optimal control and reinforcement learning, our approach offers a principled and practical framework for controlling uncertain systems with learned dynamics.
Abstract:Several disciplines, such as econometrics, neuroscience, and computational psychology, study the dynamic interactions between variables over time. A Bayesian nonparametric model known as the Wishart process has been shown to be effective in this situation, but its inference remains highly challenging. In this work, we introduce a Sequential Monte Carlo (SMC) sampler for the Wishart process, and show how it compares to conventional inference approaches, namely MCMC and variational inference. Using simulations we show that SMC sampling results in the most robust estimates and out-of-sample predictions of dynamic covariance. SMC especially outperforms the alternative approaches when using composite covariance functions with correlated parameters. We demonstrate the practical applicability of our proposed approach on a dataset of clinical depression (n=1), and show how using an accurate representation of the posterior distribution can be used to test for dynamics on covariance