Explicit solution of relative entropy weighted control
type: Item
instance of: scholarly article
title: Explicit solution of relative entropy weighted control
zbMATH Open document ID: 1297.93181
author: Hilbert J. Kappen
author: Joris Bierkens
published in: Systems \& Control Letters
publication date: 2014-10-23T00:00:00Z
full work available at URL: https://arxiv.org/abs/1205.6946
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 6360907
zbMATH Keywords: stochastic optimal control
zbMATH Keywords: Itô calculus
zbMATH Keywords: Brownian motion
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: relative entropy
zbMATH Keywords: path integral control
zbMATH Keywords: Monte-Carlo sampling
MaRDI profile type: Publication
OpenAlex ID: W2951021288
arXiv ID: 1205.6946
cites work: Q3968871
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DOI: 10.1016/J.SYSCONLE.2014.08.001
description: scientific article; zbMATH DE number 6360907