SIAM Journal on Control and Optimization, Vol.55, No.2, 961-988, 2017
A VARIATIONAL FORMULA FOR RISK-SENSITIVE REWARD
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 metric state and action spaces, extending a formula of Donsker and Varadhan for the Perron Frobenius eigenvalue of a positive operator. This leads to a concave maximization formulation of the problem of determining this optimal growth rate.