Risk-Sensitive Control and an Abstract Collatz-Wielandt Formula

Published 20 Dec 2013 in math.OC | (1312.5834v3)

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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