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eess.SY2021
CVaR-based Safety Analysis in the Infinite Time Horizon Setting
Chuanning Wei, Michael Fauss, Margaret P. Chapman
We develop a risk-averse safety analysis method for stochastic systems on discrete infinite time horizons. Our method quantifies the notion of risk for a control system in terms of…
eess.SY2021
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…