Search Results for author: Kevin M. Smith

Found 4 papers, 3 papers with code

Classical Risk-Averse Control for a Finite-Horizon Borel Model

no code implementations29 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.

On Optimizing the Conditional Value-at-Risk of a Maximum Cost for Risk-Averse Safety Analysis

1 code implementation1 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.

Risk-sensitive safety analysis using Conditional Value-at-Risk

1 code implementation28 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.

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