{
  "id": "1802.07903",
  "version": "v1",
  "published": "2018-02-22T04:53:24.000Z",
  "updated": "2018-02-22T04:53:24.000Z",
  "title": "Safety-Aware Optimal Control of Stochastic Systems Using Conditional Value-at-Risk",
  "authors": [
    "Samantha Samuelson",
    "Insoon Yang"
  ],
  "comment": "Extended version of a 2018 ACC paper",
  "categories": [
    "math.OC",
    "cs.SY"
  ],
  "abstract": "In this paper, we consider a multi-objective control problem for stochastic systems that seeks to minimize a cost of interest while ensuring safety. We introduce a novel measure of safety risk using the conditional value-at-risk and a set distance to formulate a safety risk-constrained optimal control problem. Our reformulation method using an extremal representation of the safety risk measure provides a computationally tractable dynamic programming solution. A useful byproduct of the proposed solution is the notion of a risk-constrained safe set, which is a new stochastic safety verification tool. We also establish useful connections between the risk-constrained safe sets and the popular probabilistic safe sets. The tradeoff between the risk tolerance and the mean performance of our controller is examined through an inventory control problem.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2018-02-22T04:53:24.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "safety-aware optimal control",
      "stochastic systems",
      "conditional value-at-risk",
      "tractable dynamic programming solution",
      "risk-constrained safe set"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}