For backward stochastic control problems with entropy-regularized costs, the optimal relaxed control is characterized by a variational inequality and, in the linear-quadratic case, is a Gaussian distribution with explicitly computable mean and covariance.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.OC 1years
2024 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Backward Stochastic Control System with Entropy Regularization
For backward stochastic control problems with entropy-regularized costs, the optimal relaxed control is characterized by a variational inequality and, in the linear-quadratic case, is a Gaussian distribution with explicitly computable mean and covariance.