A variational formula for risk-sensitive reward

Venkatachalam Anantharam; Vivek Shripad Borkar

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arXiv · 1501.00676

A variational formula for risk-sensitive reward

Venkatachalam Anantharam·Vivek Shripad Borkar

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Abstract

We derive a variational formula for the optimal growth rate of reward in the infinite horizon risk-sensitive control problem for discrete time Markov decision processes with compact metric state and action spaces, extending a formula of Donsker and Varadhan for the Perron-Frobenius eigenvalue of a positive operator. This leads to a concave maximization formulation of the problem of determining this optimal growth rate.

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Venkatachalam Anantharam, Vivek Shripad Borkar. 2015-01-04. A variational formula for risk-sensitive reward. https://arxiv.org/abs/1501.00676

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