Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Risk-Sensitive Model Predictive Control   We present heuristic policies and performance bounds for risk-sensitive
convex stochastic control that generalize linear-exponential-quadratic
regulator (LEQR) theory. Our heuristic policy extends standard, risk-neutral
model predictive control (MPC): instead of ignoring uncertain noise terms, as
in MPC, our heuristic policy assumes these noise terms turns out either
favorably or unfavorably, depending on a risk aversion parameter. In the
risk-seeking case, this modified planning problem is convex. In the risk-averse
case, it requires minimizing a difference of convex functions, which is done
(approximately) using the convex--concave procedure. In both cases, we obtain a
lower bound on the optimal cost as a by-product of solving the planning
problem. We give a numerical example of controlling a battery to power an
uncertain load, and show that risk-averse MPC reduces the risk of a very bad
outcome (as compared with standard, risk-neutral MPC) with negligible impact on
the the average performance.

1
The categories of this paper are: cs
27
The categories of this paper are: comp-gas
35
The categories of this paper are: mtrl-th
12
The categories of this paper are: nucl-th
9
The categories of this paper are: nlin
24
The categories of this paper are: dg-ga
13
The categories of this paper are: quant-ph
18
The categories of this paper are: econ
16
The categories of this paper are: stat
6
The categories of this paper are: astro-ph
5
The categories of this paper are: gr-qc
26
The categories of this paper are: bayes-an
25
The categories of this paper are: patt-sol
32
The categories of this paper are: atom-ph
37
The categories of this paper are: supr-con
19
The categories of this paper are: eess