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On the relation between Bayesian inference and certain solvable problems of stochastic control

On the relation between Bayesian inference and certain solvable problems of stochastic control

This video was recorded at Bayesian Research Kitchen Workshop (BARK), Grasmere 2008. Optimal control for nonlinear stochastic dynamical systems requires thesolution of a nonlinear PDE, the so - called Hamilton Jacobi Bellman equation.Recently, Bert Kappen and Emanuel Todorov have shown that for certain types of cost functions, this equationcan be transformed to a linear problem which is mathematically related to a Bayesian estimation problem. This has led to novel efficient algorithms for optimal control of such systems. I will show a simple proof for this surprising result and discuss some possible implications.

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