## Robust bounds on risk-sensitive functionals via Renyi divergence

*Atar, Rami*;

*Chowdhary, Kamaljit*;

*Dupuis, Paul*;

- Subject: Mathematics - Probability

We extend the duality between exponential integrals and relative entropy to a variational formula for exponential integrals involving the Renyi divergence. This formula characterizes the dependence of risk-sensitive functionals and related quantities determined by tail ... View more

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Division of Applied Mathematics Brown University United States90%Sandia National Laboratory ( SNL ) United StatesWebsite url: https://www.sandia.gov/77%SANDIA CORPORATION ( Sandia national Laboratories ) United StatesWebsite url: http://www.sandia.gov90%Brown University ( Brown University ) United StatesWebsite url: http://www.brown.edu/90%Technion – Israel Institute of Technology ( Technion – Israel Institute of Technology ) IsraelWebsite url: http://www.technion.ac.il/90%Sandia National Laboratories United StatesWebsite url: https://www.sandia.gov/90%BROWN UNIVERSITY 90%Technion Israel Institue of Technology Israel88%TECHNION-ISRAEL INSTITUTE OF TECHNOLOGY 90%Technion-Israel Institute of Technology 90% - Metrics

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