Yasumasa Fujisaki

Equivalence Between Continuous-Time Risk-Sensitive Control and R\'enyi Divergence Minimization

In this study, we show that a continuous-time risk-sensitive control problem is equivalent to a R\'enyi divergence minimization problem over trajectory path measures. Reformulating stochastic optimal control as probabilistic inference via Kullback-Leibler (KL) divergence minimization avoids the computational intractabi...