Robust Bounds on Risk-Sensitive Functionals via Rényi Divergence

DOI10.1137/130939730zbMath1341.60008arXiv1310.6391OpenAlexW2963959558WikidataQ88977673 ScholiaQ88977673MaRDI QIDQ3452516

Paul Dupuis, Rami Atar, Kenny Chowdhary

Publication date: 12 November 2015

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.6391

zbMATH Keywords

rare eventslarge deviationsRényi divergenceLaplace principlerisk-sensitive costrobust boundslogarithmic probability comparison boundsrisk-sensitive functional comparison bounds

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Large deviations (60F10) Measures of information, entropy (94A17)

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