A Variational Formula for Risk-Sensitive Reward
From MaRDI portal
Publication:5737636
DOI10.1137/151002630zbMath1361.93065arXiv1501.00676OpenAlexW2963056098MaRDI QIDQ5737636
Venkat Anantharam, Vivek S. Borkar
Publication date: 24 May 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.00676
Discrete-time Markov processes on general state spaces (60J05) Eigenvalue problems (93B60) Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stochastic systems in control theory (general) (93E03)
Related Items
A convergent hierarchy of non-linear eigenproblems to compute the joint spectral radius of nonnegative matrices, A Convex Programming Approach to Solve Posynomial Systems, Risk-sensitive continuous-time Markov decision processes with unbounded rates and Borel spaces, Duality between large deviation control and risk-sensitive control for Markov decision processes, Risk-sensitivity vanishing limit for controlled Markov processes, Discrete-time zero-sum games for Markov chains with risk-sensitive average cost criterion, Spectral inequalities for nonnegative tensors and their tropical analogues, A game theory approach to the existence and uniqueness of nonlinear Perron-Frobenius eigenvectors, On the relative value iteration with a risk-sensitive criterion, A variational characterization of the optimal exit rate for controlled diffusions, The operator approach to entropy games, Risk-averse autonomous systems: a brief history and recent developments from the perspective of optimal control, A Variational Characterization of the Risk-Sensitive Average Reward for Controlled Diffusions on $\mathbb{R}^d$, “Controlled” Versions of the Collatz–Wielandt and Donsker–Varadhan Formulae
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Risk-sensitive control and an abstract Collatz-Wielandt formula
- On general minimax theorems
- Characterizations of the spectral radius of positive operators
- A note on negative dynamic programming for risk-sensitive control
- Nonlinear Perron-Frobenius problem for order-preserving mappings. I
- Risk sensitive control of Markov processes in countable state space
- Risk sensitive asset allocation
- Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
- A note on risk-sensitive control of invariant models
- Average optimality for risk-sensitive control with general state space
- A User's Guide to Measure Theoretic Probability
- Nonlinear Perron–Frobenius Theory
- Rényi Divergence and Kullback-Leibler Divergence
- Algorithms for sliding block codes - An application of symbolic dynamics to information theory
- On a Variational Formula for the Principal Eigenvalue for Operators with Maximum Principle
- Risk-Sensitive Control of Finite State Machines on an Infinite Horizon II
- Universal Portfolios
- Risk-Sensitive Control of Finite State Machines on an Infinite Horizon I
- An Introduction to Symbolic Dynamics and Coding
- Infinite Horizon Risk Sensitive Control of Discrete Time Markov Processes under Minorization Property
- Elements of Information Theory
- Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
- Fixed-point and Minimax Theorems in Locally Convex Topological Linear Spaces