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Benlus t1_ivyobom wrote

Reply to comment by julbern in [R] An optimal control perspective on diffusion-based generative modeling by julbern

Nice, Ill keep an eye out for the release! Im working in Bayesian Stats so all the theory presented here seems very intriguing. Could you recommend a starting point to read more about control theory?

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julbern OP t1_ivyy0g1 wrote

The result from stochastic optimal control that we use in the paper ("verification theorem") originates mainly from the work of M. Pavon (1989) and P. Dai Pra (1991).

Perhaps it is best to start with the lecture notes of R. Van Handel (2007).

For books on the topic, I can further suggest:

  1. W. H. Fleming and R. W. Rishel (1975)
  2. W. H. Fleming and H. M. Soner (2006)
  3. H. Pham (2009)

Some more recent works in this direction are the following:

  1. B. Tzen and M. Raginsky (2019)
  2. N. Nüsken and L. Richter (2021)
  3. M. Pavon (2022)
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