# Explicit solution of relative entropy weighted control

@article{Bierkens2014ExplicitSO, title={Explicit solution of relative entropy weighted control}, author={J. Bierkens and H. Kappen}, journal={Syst. Control. Lett.}, year={2014}, volume={72}, pages={36-43} }

Abstract We consider the minimization over probability measures of the expected value of a random variable, regularized by relative entropy with respect to a given probability distribution. In the general setting we provide a complete characterization of the situations in which a finite optimal value exists and the situations in which a minimizing probability distribution exists. Specializing to the case where the underlying probability distribution is Wiener measure, we characterize finite… CONTINUE READING

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