Perception and cognition are often studied in both empirical and theoretical research as passive processes. In more natural settings, the brain actively controls behavioral interactions with the environment in a dynamic and goal-directed fashion, such that actions, and the underlying decision-making processes, play a critical role in perception and cognition. Using modern tools from stochastic control theory, in combination with more standard Bayesian statistical modeling tools, our work has shown that many behavioral and neural phenomena can be understood as rational decision-making by the brain at different timescales and levels of abstraction. In this talk, I will give an overview of our modeling and experimental work that uses decision-theoretic concepts to understand the formal link between neurophysiology and behavior in various aspects of cognition: perception, attention, cognitive control, and foraging.