CSL Decision and Control Group

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DCL Seminar Series: Vivek Borkar "A variational formula for risk-sensitive control"

Event Type
Seminar/Symposium
Sponsor
Decision and Control Laboratory
Location
B02 CSL Auditorium
Date
Oct 10, 2018   3:00 - 4:00 pm  
Speaker
Vivek Borkar - IIT Bombay, Mumbai
Contact
Angie Ellis
E-Mail
amellis@illinois.edu
Phone
217-300-1910
Views
115

Decision and Control Lecture Series

Coordinated Science Laboratory

 

A Variational Formula for Risk-Sensitive Control


Vivek Borkar

Institute Chair Professor of Electrical Engineering

IIT Bombay, Mumbai

 Wednesday, October 10, 2018

3:00 p.m. to 4:00 p.m.

CSL Auditorium (B02)

__________________________________________________

Title:  A Variational Formula for Risk-Sensitive Control

Abstract:

The talk will recall in some detail a variational formula for optimal risk-sensitive reward process due to Venkat Anantharam and myself. This is a 'controlled' version of the Collatz-Wielandt formula for principal eigenvalues of nonnegative matrices and  the Donsker-Varadhan formula for principal eigenvalues of certain diffusion operators. Related results for diffusions will be recalled and implications to dynamic programming will be discussed, notably a counterpart of Howard-Kallenberg dynamic programming equations for degenerate ergodic control for risk-sensitive control.

Bio:

Vivek Borkar obtained his B.Tech. (EE) from IIT Bombay (1976), M.S. (Systems & Control) from Case Western Reserve Uni. (1977), and Ph.D. (EECS) from Uni. of California, Berkeley (1980). He held positions at TIFR Centre and Indian Institute of Science in Bengaluru and TIFR, Mumbai, before taking up his present position at IIT Bombay, Mumbai, as Institute Chair Professor of Electrical Engineering. His research interests are in stochastic optimization and control, theory, algorithms and applications.

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