Linear and dynamic programs for risk-sensitive cost minimization

2021/03/14 by Ari Arapostathis, Arapostathis, Ari, Vivek S. Borkar +1
Economics, Econometrics and Finance · #Economic theories and models #FOS: Mathematics #Optimization and Control (math.OC)

paper · pdf · doi:10.48550/arxiv.2103.07993

openalex publication_date 2021/03/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

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