State-Dependent Temperature Control for Langevin Diffusions

DOI10.1137/21M1429424zbMath1493.93057arXiv2011.07456MaRDI QIDQ5080490

Zuo Quan Xu, Xuefeng Gao, Xun Yu Zhou

Publication date: 31 May 2022

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.07456

zbMATH Keywords

nonconvex optimizationHJB equationLangevin diffusionentropy regularizationstochastic relaxed controlBoltzmann exploration

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Optimal stochastic control (93E20) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30)

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