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Robust Bounds on Risk-Sensitive Functionals via Rényi Divergence.

Rami AtarKenny ChowdharyPaul Dupuis
Published in: SIAM/ASA J. Uncertain. Quantification (2015)
Keyphrases
  • risk sensitive
  • special case
  • optimal control
  • higher order
  • utility function
  • markov decision chains
  • model free
  • machine learning
  • learning algorithm
  • lower bound
  • sufficient conditions
  • robust optimization