Robust bounds on risk-sensitive functionals via Renyi divergence

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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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