Title :
From Collatz-Weilandt to Donkser-Varadhan via Krein-Rutman
Author :
Arapostathis, Ari ; Borkar, Vivek S. ; Kumar, K. Suresh
Author_Institution :
Electr. & Comput. Eng., Univ. of Texas at Austin, Austin, TX, USA
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-Weilandt formula to derive a variational characterization thereof. For the uncontrolled case, this reduces to the Donsker-Varadhan functional.
Keywords :
eigenvalues and eigenfunctions; infinite horizon; Collatz-Weilandt formula; Donsker-Varadhan functional; Krein-Rutman formula; eigenvalue; infinite horizon risk-sensitive control; Abstracts; Aerospace electronics; Eigenvalues and eigenfunctions; Electronic mail; Equations; Radio frequency; Standards;
Conference_Titel :
Decision and Control (CDC), 2014 IEEE 53rd Annual Conference on
Conference_Location :
Los Angeles, CA
Print_ISBN :
978-1-4799-7746-8
DOI :
10.1109/CDC.2014.7039671
