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arXiv · 1312.5834

Risk-Sensitive Control and an Abstract Collatz-Wielandt Formula

Ari Arapostathis·Vivek S. Borkar·K. Suresh Kumar
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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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Ari Arapostathis, Vivek S. Borkar, K. Suresh Kumar. 2015-04-21. Risk-Sensitive Control and an Abstract Collatz-Wielandt Formula. https://doi.org/10.1007/s10959-015-0616-x

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