Conditional-Value-At-Risk

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Period ending 2026-09-14

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Linear Exponential Quadratic Gaussian Covariance Steering
Sep 14, 2026Chiran B. Cherian, Yasemin Isik, Abhishek HalderLinear Quadratic Regulator Covariance Estimation
Certifying Lower Bounds for Risk-Sensitive Reinforcement Learning under Adversarial State Perturbations
Sep 11, 2026Tong Li, Saunak Kumar Panda, Yisha XiangConditional-Value-At-Risk Safe Reinforcement Learning
The Irreversibility Budget: Fleet-Level Risk Accounting and Admission Control for Agent Operating Systems
Aug 31, 2026Bardia Mohammadi, Laurent BindschaedlerRuntime Enforcement AI Risk Assessment
BCPPO: Bachelier-Inspired Constrained Proximal Policy Optimization for Tail-Risk-Aware Safe Reinforcement Learning
Aug 31, 2026Dongsheng Hou, Yanqiao Chen, Yuhan RuiConditional-Value-At-Risk Proximal Policy Optimization
Rules or Character? Scaling Laws for AI Safety Design
Aug 13, 2026Satoshi Takahashi, Nobuji Kouno, Masaaki Komatsu +1Artificial Intelligence Safety AI Safety Alignment
Fine-Tuning Generative Models for Extreme Events via CVaR-Penalized Wasserstein Gradient Flows
Aug 12, 2026Thejani Gamage, Hyemin Gu, Zhizhen Zhang +3Heavy-Tailed Noise Wasserstein Gradient Flows
Beyond Forecasting: Recasting Volatility Control as a Routing Problem
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Optimized Certainty Equivalent Risk Minimization Using Samples: Algorithms, Convergence Rates, and Applications
Aug 7, 2026Sumedh Gupte, Prashanth L. A., Sanjay P. BhatStochastic Optimization Conditional-Value-At-Risk
Adaptive Finite-Budget Training for CVaR Risk-Aware Q-Learning
Aug 5, 2026Yifan Wu, Junjie Lei, Wenjie HuangConditional-Value-At-Risk Q-Learning
Online Policy Evaluation for MDPs with Dynamic UBSR Measures
Jul 25, 2026Weikai Wang, Erick DelageConditional-Value-At-Risk Markov Decision Processes
Long-Term Sequential Decision Making under Risk
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Approximate Relative Entropy Constraints for Nonlinear Covariance Steering Under Distribution Ambiguity
Jul 18, 2026Trevor N. Wolf, Jay W. McMahonCovariance Estimation Conditional-Value-At-Risk
A Noise-Robust Elicit-to-Optimize Framework for Distortion Riskmetrics via Inverse Reinforcement Learning
Jul 15, 2026Yang Liu, Yuhao Liu, Yunran WeiDistributional Reinforcement Learning Conditional-Value-At-Risk
Risk-Aware General-Utility Markov Decision Processes
Jul 10, 2026Pedro P. Santos, Fábio Vital, Alberto Sardinha +1Markov Decision Processes Conditional-Value-At-Risk
Deep Reinforcement Learning for Reliability Based Bi-Objective Portfolio Optimization
Jul 7, 2026Sounaq Das, Tanmay Sen, Raghu Nandan Sengupta +1Portfolio Optimization Conditional-Value-At-Risk
Computing Monetary Risk Measures in Linear Time
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Value of Information under Imprecise Probabilities: Decision-Rule-Specific Values and Fixed-Measure Envelopes on a Credal Set
Jun 26, 2026Rowan IskandarConditional-Value-At-Risk Probability Measures
RS-Diffuser: Risk-Sensitive Diffusion Planning with Distributional Value Guidance
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Utility-Constrained Policy Optimization
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Who Earns the Safety? Intervention-Aware Quantum Predictive Control with Safety Attribution
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Conditional Random Ordered Transport Spaces
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Benchmarking Quantum Algorithmic Resilience for CVaR Portfolio Optimization: The Expressibility-Coherence Trade-off
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Conformal Risk-Averse Decision Making with Action Conditional Guarantee
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ReSGA: A Large Tail Risk Model for Learning Value-at-Risk and Expected Shortfall
Jun 3, 2026Yichi Zhang, Ke Zhu, Zhoufan ZhuConditional-Value-At-Risk Forward-Looking Fault-Risk Prediction
Prospect-Theory Behavior from Bellman Optimality in MDPs with Catastrophic States
May 31, 2026Yujiao ChenConditional-Value-At-Risk Markov Decision Processes
Adversarially Robust Control of Conditional Value-at-Risk via Rockafellar-Uryasev Conformal Inference
May 29, 2026Catherine Chen, Jingyan Shen, Zhun Deng +1Conditional-Value-At-Risk Conformal Risk Control
Forward-Looking Stress Testing Under Macro Scenarios: Stable SVaR Estimation Using a Hybrid GPR-HS Framework with SACS
May 26, 2026Ujjwala VadrevuConditional-Value-At-Risk Covariance Estimation
Reinforcement Learning for Risk Adaptation via Differentiable CVaR Barrier Functions
May 20, 2026Xinyi Wang, Taekyung Kim, Bardh Hoxha +2Obstacle Avoidance Conditional-Value-At-Risk
Conflict-Aware Active Perception and Control in 3D Gaussian Splatting Fields via Control Barrier Functions
May 19, 2026Amirhossein Mollaei Khass, Athanasios Cosse, Vivek Pandey +1Control Barrier Functions Obstacle Avoidance
A Hybrid Gaussian Process Regression Framework for Stable Volatility-Covariance Estimation: Evidence from Global Equity Indices
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R2V Agent: Teaching SLMs When to Ask for Help
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The Privacy Price of Tail-Risk Learning: Effective Tail Sample Size in Differentially Private CVaR Optimization
May 15, 2026El Mustapha MansouriConditional-Value-At-Risk Heavy-Tailed Noise
Pessimistic Risk-Aware Policy Learning in Contextual Bandits
May 15, 2026Yilong Wan, Yuqiang Li, Xianyi WuConditional-Value-At-Risk Lipschitz Constant
Safety-Constrained Reinforcement Learning with Post-Training Reachability Verification for Robot Navigation
May 13, 2026Qisong He, Xinmiao Huang, Jinwei Hu +4Robot Navigation Safety Constraints
Actor-Critic Algorithm for Dynamic Expectile and CVaR
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Learning Material-Aware Hamiltonian Risk Fields for Safe Navigation
May 7, 2026Aditya Sai Ellendula, Yi Wang, Chandrajit BajajConditional-Value-At-Risk Navigation
Wasserstein Distributionally Robust Risk-Sensitive Estimation via Conditional Value-at-Risk
Apr 20, 2026Feras Al Taha, Eilyan BitarConditional-Value-At-Risk Estimators
Risk-Constrained Belief-Space Optimization for Safe Control under Latent Uncertainty
Apr 4, 2026Clinton Enwerem, John S. Baras, Calin BeltaModel Predictive Path Integral Conditional-Value-At-Risk
Reward Redistribution for CVaR MDPs using a Bellman Operator on L-infinity
Feb 3, 2026Aneri Muni, Vincent Taboga, Esther Derman +2Conditional-Value-At-Risk Bellman Equation
Cantelli Constrained Policy Optimization
Jan 30, 2026Rohan Tangri, Jan-Peter CalliessConditional-Value-At-Risk Safety Constraints
Online simultaneous inference for quantiles via smoothed stochastic gradient descent
May 19, 2025Likai Chen, Georg Keilbar, Wei Biao WuQuantile Regression Estimators

Sep 14, 2026 · math.OCJ/K move · Enter open · S save

Linear Exponential Quadratic Gaussian Covariance Steering

Chiran B. Cherian, Yasemin Isik, Abhishek Halder

We formulate and analyze the linear exponential quadratic Gaussian (LEQG) covariance steering problem in continuous time over a given deadline (finite time horizon). The solution for this problem can be seen as a risk-sensitive Schr"{o}dinger bridge between Gaussian endpoints in the linear quadratic setting. Unlike the risk-neutral case, the LEQG covariance steering controller--still a linear state feedback--can no longer be written in closed form. We show that the optimal controller is parameterized by a symmetric matrix solving an algebraic equation that encodes the implicit dependence on the risk-sensitivity parameter. We explain how the structure of this optimal controller significantly generalizes the existing results for the risk-neutral case. Building on these results, for the matched noise and input channel case, we prove the existence-uniqueness of solution for the LEQG covariance steering problem in the neighborhood of the known risk-neutral optimal solution. We give an illustrative numerical example.

Linear Quadratic Regulator Covariance Estimation Conditional-Value-At-Risk

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