A Multilevel Approach for Stochastic Nonlinear Optimal Control

Abstract: We consider a class of finite time horizon nonlinear stochastic optimal control problem, where the control acts additively on the dynamics and the control cost is quadratic. This framework is flexible and has found applications in many domains. Although the optimal control admits a path integral representation for this class of control problems, efficient computation of the associated path integrals remains a challenging Monte Carlo task. The focus of this article is to propose a new Monte Carlo approach that significantly improves upon existing methodology. Our proposed methodology first tackles the issue of exponential growth in variance with the time horizon by casting optimal control estimation as a smoothing problem for a state space model associated with the control problem, and applying smoothing algorithms based on particle Markov chain Monte Carlo. To further reduce computational cost, we then develop a multilevel Monte Carlo method which allows us to obtain an estimator of the optimal control with $\mathcal{O}(\epsilon^2)$ mean squared error with a computational cost of $\mathcal{O}(\epsilon^{-2}\log(\epsilon)^2)$. In contrast, a computational cost of $\mathcal{O}(\epsilon^{-3})$ is required for existing methodology to achieve the same mean squared error. Our approach is illustrated on two numerical examples, which validate our theory.