A Novel Distance Matric: Generalized Relative Entropy

Information entropy and its extension, which are important generalization of entropy, have been applied in many research domains today. In this paper, a novel generalized relative entropy is constructed to avoid some defects of traditional relative entropy. We presented the structure of generalized relative entropy after the discussion of defects in relative entropy. Moreover, some properties of the provided generalized relative entropy is presented and proved. The provided generalized relative entropy is proved to have a finite range and is a finite distance metric.Comment: 7page

Stabilizing Optimal Density Control of Nonlinear Agents with Multiplicative Noise

Control of continuous time dynamics with multiplicative noise is a classic topic in stochastic optimal control. This work addresses the problem of designing infinite horizon optimal controls with stability guarantees for \textit{a single agent or large population systems} of identical, non-cooperative and non-networked agents, with multi-dimensional and nonlinear stochastic dynamics excited by multiplicative noise. For agent dynamics belonging to the class of reversible diffusion processes, we provide constraints on the state and control cost functions which guarantee stability of the closed-loop system under the action of the individual optimal controls. A condition relating the state-dependent control cost and volatility is introduced to prove the stability of the equilibrium density. This condition is a special case of the constraint required to use the path integral Feynman-Kac formula for computing the control. We investigate the connection between the stabilizing optimal control and the path integral formalism, leading us to a control law formulation expressed exclusively in terms of the desired equilibrium density.Comment: 6 pages, 0 figures, IEEE Conference on Decision and Control 2020 (accepted