Risk-aware stochastic shortest path

Meggendorfer T. 2022. Risk-aware stochastic shortest path. Proceedings of the 36th AAAI Conference on Artificial Intelligence, AAAI 2022. Conference on Artificial Intelligence vol. 36, 9858–9867.

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Abstract
We treat the problem of risk-aware control for stochastic shortest path (SSP) on Markov decision processes (MDP). Typically, expectation is considered for SSP, which however is oblivious to the incurred risk. We present an alternative view, instead optimizing conditional value-at-risk (CVaR), an established risk measure. We treat both Markov chains as well as MDP and introduce, through novel insights, two algorithms, based on linear programming and value iteration, respectively. Both algorithms offer precise and provably correct solutions. Evaluation of our prototype implementation shows that risk-aware control is feasible on several moderately sized models.
Publishing Year
Date Published
2022-06-28
Proceedings Title
Proceedings of the 36th AAAI Conference on Artificial Intelligence, AAAI 2022
Volume
36
Issue
9
Page
9858-9867
Conference
Conference on Artificial Intelligence
Conference Location
Virtual
Conference Date
2022-02-22 – 2022-03-01
ISBN
eISSN
IST-REx-ID

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Meggendorfer T. Risk-aware stochastic shortest path. In: Proceedings of the 36th AAAI Conference on Artificial Intelligence, AAAI 2022. Vol 36. Association for the Advancement of Artificial Intelligence; 2022:9858-9867. doi:10.1609/aaai.v36i9.21222
Meggendorfer, T. (2022). Risk-aware stochastic shortest path. In Proceedings of the 36th AAAI Conference on Artificial Intelligence, AAAI 2022 (Vol. 36, pp. 9858–9867). Virtual: Association for the Advancement of Artificial Intelligence. https://doi.org/10.1609/aaai.v36i9.21222
Meggendorfer, Tobias. “Risk-Aware Stochastic Shortest Path.” In Proceedings of the 36th AAAI Conference on Artificial Intelligence, AAAI 2022, 36:9858–67. Association for the Advancement of Artificial Intelligence, 2022. https://doi.org/10.1609/aaai.v36i9.21222.
T. Meggendorfer, “Risk-aware stochastic shortest path,” in Proceedings of the 36th AAAI Conference on Artificial Intelligence, AAAI 2022, Virtual, 2022, vol. 36, no. 9, pp. 9858–9867.
Meggendorfer T. 2022. Risk-aware stochastic shortest path. Proceedings of the 36th AAAI Conference on Artificial Intelligence, AAAI 2022. Conference on Artificial Intelligence vol. 36, 9858–9867.
Meggendorfer, Tobias. “Risk-Aware Stochastic Shortest Path.” Proceedings of the 36th AAAI Conference on Artificial Intelligence, AAAI 2022, vol. 36, no. 9, Association for the Advancement of Artificial Intelligence, 2022, pp. 9858–67, doi:10.1609/aaai.v36i9.21222.
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