Risk-Sensitive Control and an Abstract Collatz-Wielandt Formula
Optimization and Control
2019-03-20 v3
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.
Cite
@article{arxiv.1312.5834,
title = {Risk-Sensitive Control and an Abstract Collatz-Wielandt Formula},
author = {Ari Arapostathis and Vivek S. Borkar and K. Suresh Kumar},
journal= {arXiv preprint arXiv:1312.5834},
year = {2019}
}