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: October 10, 2018 3:00 PM - 4:00 PM
Speaker: Vivek Borkar - IIT Bombay, Mumbai
Cost
Registration
Contact: Angie Ellis
Email: amellis@illinois.edu
Phone: 217-300-1910

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)

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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.