1 code implementation • 3 Aug 2021 • Kevin M. Smith, Margaret P. Chapman
An objective cost is a realization $y$ of a random variable $Y$.
no code implementations • 29 Jul 2021 • Margaret P. Chapman, Kevin M. Smith
We study a risk-averse optimal control problem for a finite-horizon Borel model, where a cumulative cost is assessed via exponential utility.
1 code implementation • 1 Jun 2021 • Margaret P. Chapman, Michael Fauss, Kevin M. Smith
We prove that the optimal CVaR of a maximum random cost enjoys an equivalent representation in terms of the solutions to these dynamic programs under appropriate assumptions.
1 code implementation • 28 Jan 2021 • Margaret P. Chapman, Riccardo Bonalli, Kevin M. Smith, Insoon Yang, Marco Pavone, Claire J. Tomlin
In addition, we propose a second definition for risk-sensitive safe sets and provide a tractable method for their estimation without using a parameter-dependent upper bound.