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arXiv · 1903.10714

`Controlled' versions of the Collatz-Wielandt and Donsker-Varadhan formulae

Ari Arapostathis·Vivek S. Borkar
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Abstract

This is an overview of the work of the authors and their collaborators on the characterization of risk sensitive costs and rewards in terms of an abstract Collatz-Wielandt formula and in case of rewards, also a controlled version of the Donsker-Varadhan formula. For the finite state and action case, this leads to useful linear and dynamic programming formulations in the reducible case.

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Ari Arapostathis, Vivek S. Borkar. 2019-03-26. `Controlled' versions of the Collatz-Wielandt and Donsker-Varadhan formulae. https://arxiv.org/abs/1903.10714

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