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- Junjie Qin, Yinlam Chow, Jiyan Yang, Ram Rajagopal
- IEEE Trans. Smart Grid
- 2016

- Yinlam Chow, Aviv Tamar, Shie Mannor, Marco Pavone
- NIPS
- 2015

<lb>In this paper we address the problem of decision making within a Markov de-<lb>cision process (MDP) framework where risk and modeling errors are taken into<lb>account. Our approach is to minimize a risk-sensitive conditional-value-at-risk<lb>(CVaR) objective, as opposed to a standard risk-neutral expectation. We refer to<lb>such problem as CVaR MDP. Our… (More)

- Aviv Tamar, Yinlam Chow, Mohammad Ghavamzadeh, Shie Mannor
- NIPS
- 2015

We provide sampling-based algorithms for optimization under a coherent-risk objective. The class of coherent-risk measures is widely accepted in finance and operations research, among other fields, and encompasses popular riskmeasures such as the conditional value at risk (CVaR) and the mean-semi-deviation. Our approach is suitable for problems in which the… (More)

- Yinlam Chow, Mohammad Ghavamzadeh, Lucas Janson, Marco Pavone
- ArXiv
- 2015

In many sequential decision-making problems one is interested in minimizing an expected cumulative cost while taking into account risk, i.e., increased awareness of events of small probability and high consequences. Accordingly, the objective of this paper is to present efficient reinforcement learning algorithms for risk-constrained Markov decision… (More)

- Yinlam Chow, Mohammad Ghavamzadeh
- NIPS
- 2014

In many sequential decision-making problems we may want to manage risk by minimizing some measure of variability in costs in addition to minimizing a standard criterion. Conditional value-at-risk (CVaR) is a relatively new risk measure that addresses some of the shortcomings of the well-known variance-related risk measures, and because of its computational… (More)

- Yinlam Chow, Marco Pavone, Brian M. Sadler, Stefano Carpin
- ArXiv
- 2014

In this paper we consider a stochastic deployment problem, where a robotic swarm is tasked with the objective of positioning at least one robot at each of a set of pre-assigned targets while meeting a temporal deadline. Travel times and failure rates are stochastic but related, inasmuch as failure rates increase with speed. To maximize chances of success… (More)

- Yinlam Chow, Marco Pavone
- ACC
- 2013

In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider multiple objectives, have been extensively investigated in the past 20 years; however, in most formulations, the… (More)

- Yinlam Chow, Marco Pavone
- ACC
- 2014

In this paper we present a framework for risk-averse model predictive control (MPC) of linear systems affected by multiplicative uncertainty. Our key innovation is to consider time-consistent, dynamic risk metrics as objective functions to be minimized. This framework is axiomatically justified in terms of time-consistency of risk assessments, is amenable… (More)

- Jiyan Yang, Yinlam Chow, Christopher Ré, Michael W. Mahoney
- SODA
- 2016

In recent years, stochastic gradient descent (SGD) methods and randomized linear algebra (RLA) algorithms have been applied to many large-scale problems in machine learning and data analysis. SGD methods are easy to implement and applicable to a wide range of convex optimization problems. In contrast, RLA algorithms provide much stronger worst-case… (More)

- Junjie Qin, Yinlam Chow, Jiyan Yang, Ram Rajagopal
- e-Energy
- 2014

The integration of intermittent and volatile renewable energy resources requires increased flexibility in the operation of the electric grid. Storage, broadly speaking, provides the flexibility of shifting energy over time; network, on the other hand, provides the flexibility of shifting energy over geographical locations. The optimal control of general… (More)