cs.LGMar 24, 2026

A Schrödinger Eigenfunction Method for Long-Horizon Stochastic Optimal Control

Authors: Louis Claeys, Artur Goldman, Zebang Shen, Niao He

Organizations: ETH Zürich, Department of Mathematics · ETH Zürich, ETH AI Center, Institute for Machine Learning · ETH Zürich, Institute for Machine Learning

Abstract

High-dimensional stochastic optimal control (SOC) becomes harder with longer planning horizons: existing methods scale linearly in the horizon TT, with performance often deteriorating exponentially. We overcome these limitations for a subclass of linearly-solvable SOC problems-those whose uncontrolled drift is the gradient of a potential. In this setting, the Hamilton-Jacobi-Bellman equation reduces to a linear PDE governed by an operator L\mathcal{L}. We prove that, under the gradient drift assumption, L\mathcal{L} is unitarily equivalent to a Schrödinger operator S=−Δ+V\mathcal{S} = -Δ+ \mathcal{V} with purely discrete spectrum, allowing the long-horizon control to be efficiently described via the eigensystem of L\mathcal{L}. This connection provides two key results: first, for a symmetric linear-quadratic regulator (LQR), S\mathcal{S} matches the Hamiltonian of a quantum harmonic oscillator, whose closed-form eigensystem yields an analytic solution to the symmetric LQR with arbitrary terminal cost. Second, in a more general setting, we learn the eigensystem of L\mathcal{L} using neural networks. We identify implicit reweighting issues with existing eigenfunction learning losses that degrade performance in control tasks, and propose a novel loss function to mitigate this. We evaluate our method on several long-horizon benchmarks, achieving an order-of-magnitude improvement in control accuracy compared to state-of-the-art methods, while reducing memory usage and runtime complexity from O(Td)\mathcal{O}(Td) to O(d)\mathcal{O}(d).

Figures & tables

Appendix figures & tables7 assets

Supplementary material from the paper’s appendix.

Appendix

Explore similar work

CardsList
  1. Trajectory-Regularized Stochastic Optimal Control via KL Divergence

    Jul 24, 2026Mintae Kim, Koushil SreenathStochastic Optimal Control

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

    Aug 2, 2026Francesco Cordiano, Kanghui He, Bart De SchutterChance-Constrained OptimizationMarkov Decision Processes

  3. Hessian-augmented Supervised Learning for Hamilton-Jacobi-Bellman PDEs

    Jun 22, 2026Matías Gómez-Aedo, Behzad Azmi, Yuyang Huang +2Value Function EstimationPDE Solving