risk-sensitive control

Monday, May 7, 2018 - 11:00am - 11:50am
Hideo Nagai (Kansai University)
Suppose that we are given a semi-martngale whose coefficients are affected by a diffusion process and a control parameter. We are concerned with minimizing the probability that the growth rate of the semi-martingale falls below a certain level over large time. It is to be noted that the asymptotic behavior of the minimizing probability relates to risk-sensitive stochastic control in the risk-averse case.
Wednesday, May 9, 2018 - 9:00am - 9:50am
Vivek Borkar (Indian Institute of Technology)
This talk will describe a variational formula for risk-sensitive reward. This extends the Donsker-Varadhan characterization of principal eigenvalue of a non-negative matrix in discrete case and an elliptic operator in the continuous case. One application to linear and dynamic programming approaches for risk-sensitive control of finite Markov chains without the irreducibility assumption will be described. This is joint work with V. Anantharam (UC Berkeley), A. Arapostathis (UT Austin) and K. Suresh Kumar (IIT Bombay).
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