Path Integral Value Matching for Linear Quadratic Stochastic Optimal Control

Linear Quadratic Stochastic Optimal Control (LQ-SOC) establishes a fundamental framework for steering noisy dynamical systems and has recently gained renewed interest in the machine learning community. However, current state-of-the-art policy-based methods suffer from prohibitive computational costs and instability due to their heavy reliance on full-trajectory simulation. To overcome these limitations, we propose a paradigm shift toward a value-based approach by revisiting Path Integral Control (PIC). Although standard PIC suffers from the same high-variance bottleneck as policy-based methods, we discover that by truncating and marginalizing the original path integral formulation, we can derive a temporal recursive form of the value function. Building upon this theoretical foundation, we propose the Path Integral Value Matching (PI-VM) algorithm. Specifically, we employ temporal-difference learning to approximate the recursive value dynamics, and further integrate the Girsanov theorem with experience replay to enable off-policy training. We benchmark PI-VM against SOTA policy-based methods across various SOC benchmarks and sampling tasks. Empirical results demonstrate that PI-VM matches SOTA precision with an order-of-magnitude efficiency gain in low-dimensional settings, while effectively mitigating mode collapse in high-dimensional scenarios. Consequently, PI-VM offers a scalable solution for solving complex SOC problems.

Learning-Based Stochastic Optimal Control with Infinite-Horizon Probabilistic Constraints

In this paper, we consider stochastic optimal control problems with infinite-horizon joint chance constraints. By means of an appropriate state augmentation, we reformulate the original problem as a constrained Markov decision process, in which both the cost and the constraint function exhibit an additive structure. We then prove that this formulation enjoys strong duality, thereby enabling us to reformulate the problem as an equivalent unconstrained one in the Lagrange dual framework. We propose a dual-ascent algorithm to solve the resulting problem and show that it converges to a deterministic Markov policy defined over the augmented state space that is both optimal and feasible. To accommodate continuous state-input spaces, we propose a dedicated learning algorithm to approximate the value function in an offline training setting, thereby significantly reducing the computational complexity of the online control phase. We then test our approach on a numerical example and demonstrate its effectiveness compared to online predictive control methods in terms of performance and computational complexity.

Stochastic Optimal Control Sampling for Diffusion Inverse Problems

Benefiting from the strong ability to capture data distributions, diffusion models have become powerful tools for solving image inverse problems. The key is to controllably steer the sampling trajectory toward the measurements while respecting the diffusion prior. In this work, we introduce Stochastic Optimal Control Sampling (SOCS), which models the denoising process as a dynamical system and injects control signals via SOC. Previous SOC-based approach addresses inverse problems by optimizing over the entire trajectory, which is computationally expensive. In contrast, we derive a closed-form control update and apply it at each sampling step, pulling the measurement-consistent clean prediction back onto the denoising flow. In SOCS, we can readily modulate the control strength to align with the diffusion model's native capabilities and thereby enhance perceptual quality. Our method is compatible with a variety of linear stochastic differential equation backbones. Extensive experiments across a broad spectrum of image inverse tasks demonstrate that SOCS achieves accurate measurement-aligned reconstructions with improved visual fidelity and stronger quantitative performance.

Scalable Maximum Entropy Reinforcement Learning for Diffusion Policies via Adjoint Matching

Diffusion policies have recently emerged as a powerful paradigm for representing complex action distributions in reinforcement learning (RL). However, their application to online RL remains limited by the challenge of scalable training in the absence of ground-truth data, where standard optimization techniques such as score matching are not directly applicable. In this work, we introduce a highly efficient algorithm for optimizing diffusion policies by leveraging recent advances in stochastic optimal control. Our approach is based on adjoint matching, which enables simulation-free training and circumvents the need for explicit likelihood estimation or costly backpropagation through the diffusion process. Furthermore, we propose several extensions that improve the robustness and stability of the method in practical settings. Empirical results demonstrate that our approach achieves competitive performance while significantly reducing computational overhead, making diffusion policies more viable for online RL scenarios.

A Stabilized Path-Space Approach to Diffusion-Based Posterior Sampling

Diffusion models provide expressive data-driven priors for Bayesian inverse problems, but many diffusion posterior samplers rely on heuristic guidance approximations that can fail for nonlinear operators and multimodal posteriors. In this work, we develop a stabilized path-space framework for diffusion-based posterior sampling. Starting from a base diffusion process whose terminal marginal represents the prior, we define a likelihood-weighted target measure on trajectories and cast posterior sampling as learning a controlled stochastic process whose path measure matches this target. This formulation connects diffusion posterior sampling to stochastic optimal control while preserving the Bayesian structure needed for uncertainty quantification. We introduce a time reparameterization that makes the path-space control problem well posed by removing the bias induced by the unknown initial value function, without auxiliary training. We then learn the control via a trust-region path-space optimization method with log-variance objectives. The path-space perspective also unifies our learned control approach with existing guidance-based samplers, quantifies the sampling error induced by approximate controls, and yields importance sampling corrections for asymptotically exact posterior expectations. We evaluate the proposed framework on a suite of benchmark inverse problems with analytically characterized or high-quality reference posteriors, enabling principled assessment of sampling accuracy and uncertainty quantification. These experiments provide insight into the behavior of diffusion-based posterior samplers and demonstrate improved accuracy and robustness over leading approaches.