Papers
Topics
Authors
Recent
Gemini 2.5 Flash
Gemini 2.5 Flash
158 tokens/sec
GPT-4o
7 tokens/sec
Gemini 2.5 Pro Pro
45 tokens/sec
o3 Pro
4 tokens/sec
GPT-4.1 Pro
38 tokens/sec
DeepSeek R1 via Azure Pro
28 tokens/sec
2000 character limit reached

Risk-aware Stochastic Shortest Path (2203.01640v1)

Published 3 Mar 2022 in eess.SY, cs.AI, and cs.SY

Abstract: We treat the problem of risk-aware control for stochastic shortest path (SSP) on Markov decision processes (MDP). Typically, expectation is considered for SSP, which however is oblivious to the incurred risk. We present an alternative view, instead optimizing conditional value-at-risk (CVaR), an established risk measure. We treat both Markov chains as well as MDP and introduce, through novel insights, two algorithms, based on linear programming and value iteration, respectively. Both algorithms offer precise and provably correct solutions. Evaluation of our prototype implementation shows that risk-aware control is feasible on several moderately sized models.

Citations (7)

Summary

We haven't generated a summary for this paper yet.