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Found 4 papers, 3 papers with code
CVaR-based Safety Analysis in the Infinite Time Horizon Setting
We develop a risk-averse safety analysis method for stochastic systems on discrete infinite time horizons.
On Optimizing the Conditional Value-at-Risk of a Maximum Cost for Risk-Averse Safety Analysis
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.
The Vector Poisson Channel: On the Linearity of the Conditional Mean Estimator
The first result shows that the only distribution that induces the linearity of the conditional mean estimator is a product gamma distribution.
Bayesian Sequential Joint Detection and Estimation
We formulate an unconstrained sequential decision problem, whose cost function is the weighted sum of the expected run-length and the detection/estimation errors.
Signal Processing
