Robust Bounds on Risk-Sensitive Functionals via Rényi Divergence
Work
Year: 2015
Type: article
Abstract: We extend the duality between exponential integrals and relative entropy to a variational formula for exponential integrals involving the Rényi divergence. This formula characterizes the dependence of... more
Authors Rami Atar, Kenny Chowdhary, Paul Dupuis
Institutions Sandia National Laboratories California, Brown University, Technion – Israel Institute of Technology
Cites: 26
Cited by: 58
Related to: 20
FWCI: 4.103
Citation percentile (by year/subfield): 94.27
Subfield: Statistics, Probability and Uncertainty
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green