Nonlinear Stochastic Control and Information Theoretic Dualities: Connections, Interdependencies and Thermodynamic Interpretations

作者：Theodorou Evangelos A^*

来源：Entropy, 2015, 17(5): 3352-3375.

DOI：10.3390/e17053352

• Stochastic Optimal Control
• Information Theory
• Thermodynamics

In this paper, we present connections between recent developments on the linearly-solvable stochastic optimal control framework with early work in control theory based on the fundamental dualities between free energy and relative entropy. We extend these connections to nonlinear stochastic systems with non-affine controls by using the generalized version of the Feynman-Kac lemma. We present alternative formulations of the linearly-solvable stochastic optimal control framework and discuss information theoretic and thermodynamic interpretations. On the algorithmic side, we present iterative stochastic optimal control algorithms and applications to nonlinear stochastic systems. We conclude with an overview of the frameworks presented and discuss limitations, differences and future directions.

• 出版日期2015-5