Explicit solution of relative entropy weighted control
نویسندگان
چکیده
منابع مشابه
Explicit solution of relative entropy weighted control
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 cas...
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ژورنال
عنوان ژورنال: Systems & Control Letters
سال: 2014
ISSN: 0167-6911
DOI: 10.1016/j.sysconle.2014.08.001