On Exponential Utility and Conditional Value-at-Risk as Risk-Averse Performance Criteria

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 \varphi of objective costs to subjective costs. An o...

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Veröffentlicht in:	IEEE transactions on control systems technology 2023-11, Vol.31 (6), p.1-16
Hauptverfasser:	Smith, Kevin M., Chapman, Margaret P.
Format:	Artikel
Sprache:	eng
Schlagworte:	Aerospace electronics Conditional value-at-risk (CVaR) Continuity (mathematics) Costs Decision theory exponential utility (EU) Optimal control Optimization Random variables Risk aversion Risk management Safety safety analysis Stochastic systems
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