Papers › Risk-Sensitive Stochastic Optimal Control as Rao-Blackwellized Markovian Score Climbing

Risk-Sensitive Stochastic Optimal Control as Rao-Blackwellized Markovian Score Climbing

21 Dec 2023arXiv:2312.14000archive 2025-07-28

Hany Abdulsamad, Sahel Iqbal, Adrien Corenflos, Simo Särkkä

Stochastic optimal control of dynamical systems is a crucial challenge in sequential decision-making. Recently, control-as-inference approaches have had considerable success, providing a viable risk-sensitive framework to address the exploration-exploitation dilemma. Nonetheless, a majority of these techniques only invoke the inference-control duality to derive a modified risk objective that is then addressed within a reinforcement learning framework. This paper introduces a novel perspective by framing risk-sensitive stochastic control as Markovian score climbing under samples drawn from a conditional particle filter. Our approach, while purely inference-centric, provides asymptotically unbiased estimates for gradient-based policy optimization with optimal importance weighting and no explicit value function learning. To validate our methodology, we apply it to the task of learning neural non-Gaussian feedback policies, showcasing its efficacy on numerical benchmarks of stochastic dynamical systems.

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