Linear and dynamic programs for risk-sensitive cost minimization
Optimization and Control
2021-03-16 v1
Abstract
We derive equivalent linear and dynamic programs for infinite horizon risk-sensitive control for minimization of the asymptotic growth rate of the cumulative cost.
Cite
@article{arxiv.2103.07993,
title = {Linear and dynamic programs for risk-sensitive cost minimization},
author = {Ari Arapostathis and Vivek S. Borkar},
journal= {arXiv preprint arXiv:2103.07993},
year = {2021}
}
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6 pages
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