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- W1934315087 abstract "We derive a variational formula for the optimal growth rate of reward in the infinite horizon risk-sensitive control problem for discrete time Markov decision processes with compact state and action spaces, extending a formula of Donsker and Varadhan for the Perron-Frobenius eigenvalue of a positive operator. This can be viewed as an abstract version of the Collatz-Wielandt formula for the Perron-Frobenius eigenvalue of a non-negative matrix. This leads to a concave maximization formulation of the problem of determining the optimal growth rate of risk-sensitive reward." @default.
- W1934315087 created "2016-06-24" @default.
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- W1934315087 date "2015-02-01" @default.
- W1934315087 modified "2023-09-22" @default.
- W1934315087 title "Rocking in two by two: From Collatz-Wielandt to Donsker-Varadhan" @default.
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- W1934315087 doi "https://doi.org/10.1109/ita.2015.7308997" @default.
- W1934315087 hasPublicationYear "2015" @default.
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