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Electrical Engineering and Systems Science > Systems and Control

arXiv:2108.06776 (eess)
[Submitted on 15 Aug 2021 (v1), last revised 10 Mar 2022 (this version, v2)]

Title:CVaR-based Safety Analysis in the Infinite Time Horizon Setting

Authors:Chuanning Wei, Michael Fauss, Margaret P. Chapman
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Abstract:We develop a risk-averse safety analysis method for stochastic systems on discrete infinite time horizons. Our method quantifies the notion of risk for a control system in terms of the severity of a harmful random outcome in a fraction of the worst cases. In contrast, classical methods quantify risk in terms of the probability of a harmful event. Our theoretical arguments are based on the analysis of a value iteration algorithm on an augmented state space. We provide conditions to guarantee the existence of an optimal policy on this space. We illustrate the method numerically using an example from the domain of stormwater management.
Comments: American Control Conference 2022, in press
Subjects: Systems and Control (eess.SY); Optimization and Control (math.OC)
Cite as: arXiv:2108.06776 [eess.SY]
  (or arXiv:2108.06776v2 [eess.SY] for this version)
  https://doi.org/10.48550/arXiv.2108.06776

Submission history

From: Margaret Chapman Dr. [view email]
[v1] Sun, 15 Aug 2021 16:47:32 UTC (112 KB)
[v2] Thu, 10 Mar 2022 20:21:47 UTC (171 KB)
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