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}
}
  • J. Bierkens, H. Kappen
  • Published 2014
  • Mathematics, Computer Science
  • Syst. Control. Lett.
  • 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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