1 citations · 2 across the 5 of their papers we have counts for
6 papers
On Exponential Utility and Conditional Value-at-Risk as Risk-Averse Performance Criteria
Kevin M. Smith, Margaret P. Chapman
The standard approach to risk-averse control is to use the Exponential Utility (EU) functional, which has been studied for several decades. Like other risk-averse utility functiona…
Classical Risk-Averse Control for a Finite-Horizon Borel Model
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. The setting permits non-linear dynamic…
On Optimizing the Conditional Value-at-Risk of a Maximum Cost for Risk-Averse Safety Analysis
Margaret P. Chapman, Michael Fauss, Kevin M. Smith
The popularity of Conditional Value-at-Risk (CVaR), a risk functional from finance, has been growing in the control systems community due to its intuitive interpretation and axioma…
Risk-sensitive safety analysis using Conditional Value-at-Risk
Margaret P. Chapman, Riccardo Bonalli, Kevin M. Smith +3
This paper develops a safety analysis method for stochastic systems that is sensitive to the possibility and severity of rare harmful outcomes. We define risk-sensitive safe sets a…
Risk-sensitive safety specifications for stochastic systems using Conditional Value-at-Risk
Margaret P. Chapman, Jonathan P. Lacotte, Kevin M. Smith +4
This paper proposes a safety analysis method that facilitates a tunable balance between the worst-case and risk-neutral perspectives. First, we define a risk-sensitive safe set to…
A Risk-Sensitive Finite-Time Reachability Approach for Safety of Stochastic Dynamic Systems
Margaret P. Chapman, Jonathan Lacotte, Aviv Tamar +7
A classic reachability problem for safety of dynamic systems is to compute the set of initial states from which the state trajectory is guaranteed to stay inside a given constraint…