On Optimizing the Conditional Value-at-Risk of a Maximum Cost for Risk-Averse Safety Analysis - Chapman, Margaret P.; Faus, Michael; Smith, Kevin M. (IEEE transactions on automatic control, 2023)
Keywords: Aerospace electronics; Combined sewer overflows; Conditional Value-at-Risk (CVaR); Cost analysis; Costs; Markov decision processes (MDPs); Markov processes; Optimal control; Optimization; Probability theory; Process control; Random variables; Risk analysis; risk-averse optimal control; Safety; safety analysis; Stochastic systems