Matches in SemOpenAlex for { <https://semopenalex.org/work/W3189780215> ?p ?o ?g. }
- W3189780215 endingPage "16" @default.
- W3189780215 startingPage "1" @default.
- W3189780215 abstract "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 functionals, EU encodes risk aversion through an increasing convex mapping <inline-formula xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink> <tex-math notation=LaTeX>$varphi$</tex-math> </inline-formula> of objective costs to subjective costs. An objective cost is a realization <inline-formula xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink> <tex-math notation=LaTeX>$y$</tex-math> </inline-formula> of a random variable <inline-formula xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink> <tex-math notation=LaTeX>$Y$</tex-math> </inline-formula> . In contrast, a subjective cost is a realization <inline-formula xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink> <tex-math notation=LaTeX>$varphi(y)$</tex-math> </inline-formula> of a random variable <inline-formula xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink> <tex-math notation=LaTeX>$varphi(Y)$</tex-math> </inline-formula> that has been transformed to measure preferences about the outcomes. For EU, the transformation is <inline-formula xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink> <tex-math notation=LaTeX>$varphi(y) = exp(({-theta}/{2})y)$</tex-math> </inline-formula> , and under certain conditions, the quantity <inline-formula xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink> <tex-math notation=LaTeX>$varphi^{-1}(E(varphi(Y)))$</tex-math> </inline-formula> can be approximated by a linear combination of the mean and variance of <inline-formula xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink> <tex-math notation=LaTeX>$Y$</tex-math> </inline-formula> . More recently, there has been growing interest in risk-averse control using the conditional value-at-risk (CVaR) functional. In contrast to the EU functional, the CVaR of a random variable <inline-formula xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink> <tex-math notation=LaTeX>$Y$</tex-math> </inline-formula> concerns a fraction of its possible realizations. If <inline-formula xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink> <tex-math notation=LaTeX>$Y$</tex-math> </inline-formula> is a continuous random variable with finite <inline-formula xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink> <tex-math notation=LaTeX>$E(|Y|)$</tex-math> </inline-formula> , then the CVaR of <inline-formula xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink> <tex-math notation=LaTeX>$Y$</tex-math> </inline-formula> at level <inline-formula xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink> <tex-math notation=LaTeX>$alpha$</tex-math> </inline-formula> is the expectation of <inline-formula xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink> <tex-math notation=LaTeX>$Y$</tex-math> </inline-formula> in the <inline-formula xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink> <tex-math notation=LaTeX>$alpha cdot 100%$</tex-math> </inline-formula> worst cases. Here, we study the applications of risk-averse functionals to controller synthesis and safety analysis through the development of numerical examples, with an emphasis on EU and CVaR. Our contribution is to examine the decision-theoretic, mathematical, and computational tradeoffs that arise when using EU and CVaR for optimal control and safety analysis. We are hopeful that this work will advance the interpretability of risk-averse control technology and elucidate its potential benefits." @default.
- W3189780215 created "2021-08-16" @default.
- W3189780215 creator A5009559667 @default.
- W3189780215 creator A5074394976 @default.
- W3189780215 date "2023-01-01" @default.
- W3189780215 modified "2023-09-23" @default.
- W3189780215 title "On Exponential Utility and Conditional Value-at-Risk as Risk-Averse Performance Criteria" @default.
- W3189780215 cites W1541527977 @default.
- W3189780215 cites W1585055630 @default.
- W3189780215 cites W1587828677 @default.
- W3189780215 cites W1589395967 @default.
- W3189780215 cites W1594563152 @default.
- W3189780215 cites W167838732 @default.
- W3189780215 cites W1828563792 @default.
- W3189780215 cites W1855555568 @default.
- W3189780215 cites W1997933673 @default.
- W3189780215 cites W2000585268 @default.
- W3189780215 cites W2001009060 @default.
- W3189780215 cites W2001697694 @default.
- W3189780215 cites W2002444764 @default.
- W3189780215 cites W2006557476 @default.
- W3189780215 cites W2010358969 @default.
- W3189780215 cites W2010654234 @default.
- W3189780215 cites W2027106436 @default.
- W3189780215 cites W2027591506 @default.
- W3189780215 cites W2032292395 @default.
- W3189780215 cites W2034625206 @default.
- W3189780215 cites W2037197628 @default.
- W3189780215 cites W2064721129 @default.
- W3189780215 cites W2067266449 @default.
- W3189780215 cites W2068398942 @default.
- W3189780215 cites W2073280806 @default.
- W3189780215 cites W2075203943 @default.
- W3189780215 cites W2080813827 @default.
- W3189780215 cites W2084772009 @default.
- W3189780215 cites W2088413745 @default.
- W3189780215 cites W2092194772 @default.
- W3189780215 cites W2096035449 @default.
- W3189780215 cites W2097189612 @default.
- W3189780215 cites W2100829390 @default.
- W3189780215 cites W2106929622 @default.
- W3189780215 cites W2116364955 @default.
- W3189780215 cites W2121069325 @default.
- W3189780215 cites W2128347943 @default.
- W3189780215 cites W2132527237 @default.
- W3189780215 cites W2136013738 @default.
- W3189780215 cites W2141904788 @default.
- W3189780215 cites W2146693534 @default.
- W3189780215 cites W2154136656 @default.
- W3189780215 cites W2156530608 @default.
- W3189780215 cites W2160769068 @default.
- W3189780215 cites W2199369507 @default.
- W3189780215 cites W2266738696 @default.
- W3189780215 cites W2582119505 @default.
- W3189780215 cites W2582186538 @default.
- W3189780215 cites W2807455070 @default.
- W3189780215 cites W2894033912 @default.
- W3189780215 cites W2922632029 @default.
- W3189780215 cites W2963590277 @default.
- W3189780215 cites W2963606896 @default.
- W3189780215 cites W2964219244 @default.
- W3189780215 cites W2972404875 @default.
- W3189780215 cites W2982428006 @default.
- W3189780215 cites W3021796787 @default.
- W3189780215 cites W3111256349 @default.
- W3189780215 cites W3119353806 @default.
- W3189780215 cites W3124407081 @default.
- W3189780215 cites W3125636723 @default.
- W3189780215 cites W3133680363 @default.
- W3189780215 cites W3167396090 @default.
- W3189780215 cites W3183952495 @default.
- W3189780215 cites W54793854 @default.
- W3189780215 doi "https://doi.org/10.1109/tcst.2023.3274843" @default.
- W3189780215 hasPublicationYear "2023" @default.
- W3189780215 type Work @default.
- W3189780215 sameAs 3189780215 @default.
- W3189780215 citedByCount "1" @default.
- W3189780215 countsByYear W31897802152021 @default.
- W3189780215 crossrefType "journal-article" @default.
- W3189780215 hasAuthorship W3189780215A5009559667 @default.
- W3189780215 hasAuthorship W3189780215A5074394976 @default.
- W3189780215 hasBestOaLocation W31897802151 @default.
- W3189780215 hasConcept C105795698 @default.
- W3189780215 hasConcept C11413529 @default.
- W3189780215 hasConcept C118615104 @default.
- W3189780215 hasConcept C136119220 @default.
- W3189780215 hasConcept C202444582 @default.
- W3189780215 hasConcept C2781089630 @default.
- W3189780215 hasConcept C33923547 @default.
- W3189780215 hasConcept C45357846 @default.
- W3189780215 hasConcept C94375191 @default.
- W3189780215 hasConceptScore W3189780215C105795698 @default.
- W3189780215 hasConceptScore W3189780215C11413529 @default.
- W3189780215 hasConceptScore W3189780215C118615104 @default.
- W3189780215 hasConceptScore W3189780215C136119220 @default.
- W3189780215 hasConceptScore W3189780215C202444582 @default.
- W3189780215 hasConceptScore W3189780215C2781089630 @default.
- W3189780215 hasConceptScore W3189780215C33923547 @default.