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Linear and Dynamic Programs for Risk-Sensitive Cost Minimization
Journal
Proceedings of the IEEE Conference on Decision and Control
ISSN
07431546
Date Issued
2021-01-01
Author(s)
Arapostathis, Ari
Borkar, Vivek S.
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.