mlsanityData to 7 Oct 2026

Risk-Averse Stochastic Shortest Path Planning

arXiv 2103.14727 ↗First posted 26 Mar 2021eess.SY cs.AI cs.SYcited by 8

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Abstract (arXiv)

We consider the stochastic shortest path planning problem in MDPs, i.e., the problem of designing policies that ensure reaching a goal state from a given initial state with minimum accrued cost. In order to account for rare but important realizations of the system, we consider a nested dynamic coherent risk total cost functional rather than the conventional risk-neutral total expected cost. Under some assumptions, we show that optimal, stationary, Markovian policies exist and can be found via a special Bellman's equation. We propose a computational technique based on difference convex programs (DCPs) to find the associated value functions and therefore the risk-averse policies. A rover navigation MDP is used to illustrate the proposed methodology with conditional-value-at-risk (CVaR) and entropic-value-at-risk (EVaR) coherent risk measures.

Key facts. Cited by 8 papers in the map (data through 7 Oct 2026). Builds on 16 of its 52 references that are in the map. First posted on arXiv 26 Mar 2021.

Builds on

16 of 52 references.

References · 16

  1. 2016CVXPY: A Python-Embedded Modeling Language for Convex Optimizationcited by 633
  2. 2017A Rewriting System for Convex Optimization Problemscited by 178
  3. 2015Risk-Sensitive and Robust Decision-Making: a CVaR Optimization Approachcited by 162
  4. 2014Algorithms for CVaR Optimization in MDPscited by 98
  5. 2017How Should a Robot Assess Risk? Towards an Axiomatic Theory of Risk in Roboticscited by 57
  6. 2016Disciplined Convex-Concave Programmingcited by 29
  7. 2021STEP: Stochastic Traversability Evaluation and Planning for Risk-Aware Off-road Navigationcited by 27
  8. 2014Policy Gradients for CVaR-Constrained MDPscited by 20
  9. 2020Constrained Risk-Averse Markov Decision Processescited by 15
  10. 2019A Risk-Sensitive Finite-Time Reachability Approach for Safety of Stochastic Dynamic Systemscited by 14
  11. 2019Risk-Averse Planning Under Uncertaintycited by 11
  12. 2020Stochastic Finite State Control of POMDPs with LTL Specificationscited by 11
4 more
  1. 2016Risk Aversion in Finite Markov Decision Processes Using Total Cost Criteria and Average Value at Riskcited by 8
  2. 2020Risk-Sensitive Motion Planning using Entropic Value-at-Riskcited by 7
  3. 2017A Framework for Time-Consistent, Risk-Sensitive Model Predictive Control: Theory and Algorithmscited by 6
  4. 2017Portfolio Optimization with Entropic Value-at-Riskcited by 2

Built on by

Cited by year (2026 to 7 Oct)

Citing papers per year: 2021: 1; 2022: 1; 2023: 0; 2024: 3; 2025: 2; 2026: 1.

8 papers.

  1. 2024Risk-averse Total-reward MDPs with ERM and EVaRcited by 4
  2. 2022Sample-Based Bounds for Coherent Risk Measures: Applications to Policy Synthesis and Verificationcited by 3
  3. 2021Risk-Averse Decision Making Under Uncertaintycited by 2
  4. 2025Risk-Sensitive Agent Compositionscited by 1
  5. 2024Simplification of Risk Averse POMDPs with Performance Guaranteescited by 0
  6. 2024Robust Stochastic Shortest-Path Planning via Risk-Sensitive Incremental Samplingcited by 0
  7. 2025Risk-Averse Total-Reward Reinforcement Learningcited by 0
  8. 2026Long-Term Sequential Decision Making under Riskcited by 0