On Exponential Utility and Conditional Value-at-Risk as Risk-Averse Performance Criteria
Author:
Affiliation:
1. Department of Civil and Environmental Engineering, Tufts University, Medford, MA, USA
2. Edward S. Rogers Sr. Department of Electrical and Computer Engineering, University of Toronto, Toronto, ON, Canada
Funder
a Computational Hydraulics International University Grant Program that provided complementary use of PCSWMM Professional software
NSF Integrative Graduate Education and Research Training Award
NSF Research Traineeship Award
Edward S. Rogers Sr Margaret P. Chapman acknowledges the Natural Sciences and Engineering Research Council of Canada Discovery Grants Program
Publisher
Institute of Electrical and Electronics Engineers (IEEE)
Subject
Electrical and Electronic Engineering,Control and Systems Engineering
Link
https://ieeexplore.ieee.org/ielam/87/10292780/10169090-aam.pdf
Reference79 articles.
1. Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
2. Hamilton–Jacobi Reachability: Some Recent Theoretical Advances and Applications in Unmanned Airspace Management
3. Inverse Risk-Sensitive Reinforcement Learning
4. Decomposition of Reachable Sets and Tubes for a Class of Nonlinear Systems
5. Risk-averse autonomous systems: A brief history and recent developments from the perspective of optimal control
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