Risk-sensitive control and an abstract Collatz-Wielandt formula
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Abstract: The "value" of infinite horizon risk-sensitive control is the principal eigenvalue of a certain positive operator. This facilitates the use of Chang's extension of the Collatz-Wielandt formula to derive a variational characterization thereof. For the uncontrolled case, this reduces to the Donsker-Varadhan functional.
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- On a Variational Formula for the Principal Eigenvalue for Operators with Maximum Principle
- Risk-Sensitive Control on an Infinite Time Horizon
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Cited in
(14)- Global algorithms for maximal eigenpair
- A counterexample to a nonlinear version of the Kreĭn-Rutman theorem by R.\,Mahadevan
- A nonzero-sum risk-sensitive stochastic differential game in the orthant
- Principal eigenvalues of a class of nonlinear integro-differential operators
- On the relative value iteration with a risk-sensitive criterion
- A variational characterization of the optimal exit rate for controlled diffusions
- ``Controlled versions of the Collatz-Wielandt and Donsker-Varadhan formulae
- A variational formula for risk-sensitive control of diffusions in \(\mathbb{R}^d\)
- A variational formula for risk-sensitive reward
- Zero-sum risk-sensitive stochastic differential games with reflecting diffusions in the orthant
- A variational characterization of the risk-sensitive average reward for controlled diffusions on \(\mathbb{R}^d\)
- Ergodic risk-sensitive stochastic differential games with reflecting diffusions in a bounded domain
- Asymptotics of impulse control problem with multiplicative reward
- Markov decision processes with risk-sensitive criteria: an overview
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