Related papers: Risk-sensitive safety specifications for stochasti…
We consider an optimal investment and risk control problem for an insurer under the mean-variance (MV) criterion. By introducing a deterministic auxiliary process defined forward in time, we formulate an alternative time-consistent problem…
Solving chance-constrained optimal control problems for systems subject to non-stationary uncertainties is a significant challenge.Conventional robust model predictive control (MPC) often yields excessive conservatism by relying on static…
We present a heuristic policy and performance bound for risk-sensitive convex stochastic control that generalizes linear-exponential-quadratic regulator (LEQR) theory. Our heuristic policy extends standard, risk-neutral model predictive…
Systemic risk measures play a crucial role in analyzing individual losses conditional on extreme system-wide disasters. In this paper, we provide a unified asymptotic treatment for systemic risk measures. First, we classify them into two…
In this paper, we propose a data-driven approach to formally verify the safety of (potentially) unknown discrete-time continuous-space stochastic systems. The proposed framework is based on a notion of barrier certificates together with…
Credit Suisse First Boston (CSFB) launched in 1997 the model CreditRisk+ which aims at calculating the loss distribution of a credit portfolio on the basis of a methodology from actuarial mathematics. Knowing the loss distribution, it is…
We propose a novel framework to solve risk-sensitive reinforcement learning (RL) problems where the agent optimises time-consistent dynamic spectral risk measures. Based on the notion of conditional elicitability, our methodology constructs…
The wide availability of data coupled with the computational advances in artificial intelligence and machine learning promise to enable many future technologies such as autonomous driving. While there has been a variety of successful…
Optimizing dynamic risk with stochastic policies is challenging in both policy updates and value learning. The former typically requires transition perturbation, while the latter may rely on model-based approaches. To address these…
We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVaR and the expected terminal wealth. While the mean-CVaR…
Prior work on safe Reinforcement Learning (RL) has studied risk-aversion to randomness in dynamics (aleatory) and to model uncertainty (epistemic) in isolation. We propose and analyze a new framework to jointly model the risk associated…
We account for time-varying parameters in the conditional expectile-based value at risk (EVaR) model. The EVaR downside risk is more sensitive to the magnitude of portfolio losses compared to the quantile-based value at risk (QVaR). Rather…
We propose a convex formulation for a trading system with the Conditional Value-at-Risk as a risk-adjusted performance measure under the notion of Direct Reinforcement Learning. Due to convexity, the proposed approach can uncover a…
Value-at-risk (VaR), also known as quantile, is a crucial risk measure in finance and other fields. However, optimizing VaR metrics in Markov decision processes (MDPs) is challenging because VaR is non-additive and the traditional dynamic…
We consider a control problem for a finite-state Markov system whose performance is evaluated by a coherent Markov risk measure. For each policy, the risk of a state is approximated by a function of its features, thus leading to a…
In light of the inherently complex and dynamic nature of real-world environments, incorporating risk measures is crucial for the robustness evaluation of deep learning models. In this work, we propose a Risk-Averse Certification framework…
In this paper, we consider the nonconvex minimization problem of the value-at-risk (VaR) that arises from financial risk analysis. By considering this problem as a special linear program with linear complementarity constraints (a bilevel…
This paper addresses the design of safety certificates for stochastic systems, with a focus on ensuring long-term safety through fast real-time control. In stochastic environments, set invariance-based methods that restrict the probability…
Control Barrier functions (CBFs) have attracted extensive attention for designing safe controllers for their deployment in real-world safety-critical systems. However, the perception of the surrounding environment is often subject to…
It is of growing concern to ensure the resilience in electricity infrastructure systems to extreme weather events with the help of appropriate hardening measures and new operational procedures. An effective mitigation strategy requires a…