Decision and Control Lecture Series
Coordinated Science Laboratory
A Variational Formula for Risk-Sensitive Control
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
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.
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.