A review of stochastic programming methods for optimization of process systems under uncertainty

C Li, IE Grossmann - Frontiers in Chemical Engineering, 2021‏ - frontiersin.org
Uncertainties are widespread in the optimization of process systems, such as uncertainties
in process technologies, prices, and customer demands. In this paper, we review the basic …

Risk-averse autonomous systems: A brief history and recent developments from the perspective of optimal control

Y Wang, MP Chapman - Artificial Intelligence, 2022‏ - Elsevier
We present an historical overview about the connections between the analysis of risk and
the control of autonomous systems. We offer two main contributions. Our first contribution is …

Risk-sensitive and robust decision-making: a cvar optimization approach

Y Chow, A Tamar, S Mannor… - Advances in neural …, 2015‏ - proceedings.neurips.cc
In this paper we address the problem of decision making within a Markov decision process
(MDP) framework where risk and modeling errors are taken into account. Our approach is to …

[کتاب][B] Multistage stochastic optimization

GC Pflug, A Pichler - 2014‏ - Springer
The topic of this book is multistage stochastic optimization. Multistage reflects the fact that an
optimal decision is an entire strategy or policy, which is executed during subsequent instants …

Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective

T Homem-de-Mello, BK Pagnoncelli - European Journal of Operational …, 2016‏ - Elsevier
We discuss the incorporation of risk measures into multistage stochastic programs. While
much attention has been recently devoted in the literature to this type of model, it appears …

Entropic risk optimization in discounted MDPs

JL Hau, M Petrik… - … Conference on Artificial …, 2023‏ - proceedings.mlr.press
Abstract Risk-averse Markov Decision Processes (MDPs) have optimal policies that achieve
high returns with low variability, but these MDPs are often difficult to solve. Only a few …

Risk-sensitive safety analysis using conditional value-at-risk

MP Chapman, R Bonalli, KM Smith… - … on Automatic Control, 2021‏ - ieeexplore.ieee.org
This article develops a safetyanalysis method for stochastic systems that is sensitive to the
possibility and severity of rare harmful outcomes. We define risk-sensitive safe sets as …

Risk-averse bayes-adaptive reinforcement learning

M Rigter, B Lacerda, N Hawes - Advances in Neural …, 2021‏ - proceedings.neurips.cc
In this work, we address risk-averse Bayes-adaptive reinforcement learning. We pose the
problem of optimising the conditional value at risk (CVaR) of the total return in Bayes …

On dynamic programming decompositions of static risk measures in Markov decision processes

JL Hau, E Delage… - Advances in Neural …, 2023‏ - proceedings.neurips.cc
Optimizing static risk-averse objectives in Markov decision processes is difficult because
they do not admit standard dynamic programming equations common in Reinforcement …

Constrained risk-averse Markov decision processes

M Ahmadi, U Rosolia, MD Ingham, RM Murray… - Proceedings of the …, 2021‏ - ojs.aaai.org
We consider the problem of designing policies for Markov decision processes (MDPs) with
dynamic coherent risk objectives and constraints. We begin by formulating the problem in a …