4 edition of **Optimal decisions under uncertainty** found in the catalog.

- 8 Want to read
- 9 Currently reading

Published
**1985**
by Springer-Verlag in Berlin, New York
.

Written in English

- Decision-making -- Mathematical models.,
- Economic policy -- Mathematical models.,
- Uncertainty -- Mathematical models.

**Edition Notes**

Statement | J.K. Sengupta. |

Series | Universitext |

Classifications | |
---|---|

LC Classifications | HD30.23 |

The Physical Object | |

Pagination | p. cm |

ID Numbers | |

Open Library | OL21341223M |

ISBN 10 | 0387150323 |

Choice under Uncertainty Virtually every decision is made in the face of uncertainty. While we often rely on models of certain information as you’ve seen in the class so far, many economic problems require that we tackle uncertainty head on. For instance, how should in- uncertainty. Expected Utility. We consider the problem of optimal decision making under uncertainty but assume that the decision maker's utility function is not completely known. Instead, we consider all the utilities that meet some criteria, such as preferring certain lotteries over other lotteries and being risk averse, S-shaped, or : ArmbrusterBenjamin, DelageErick.

This book is a tour de force for its systematic treatment of the latest advances in decision making and planning under uncertainty. The detailed discussion on modeling issues and computational efficiency within real-world applications makes it invaluable for students and practitioners alike. () Policy Uncertainty and the Optimal Investment Decisions of Second-Generation Biofuel Producers. Energy Economics. () Optimal switching under a hybrid diffusion model and applications to stock by:

A decision problem, where a decision-maker is aware of various possible states of nature but has insufficient information to assign any probabilities of occurrence to them, is termed as decision-making under uncertainty. A decision under uncertainty is when there are many unknowns and no possibility of knowing what could occur in the future to. How to improve decision-making skills in realistic situations and do it in a reasonably nonmathematical fashion. Develops practical techniques for deciding upon the best strategies in a variety of situations. Provides methods for reducing complex problems to easily-drawn decision diagrams (trees), supported by real-world examples. Includes detailed cases that employ the .

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Optimal Decisions under Uncertainty (Lecture Notes in Economics and Mathematical Systems) 1st Edition by J.K. Sengupta (Author)Cited by: The economist analyzes the role of incomplete and too often imperfect information structures on the optimal decisions made by a firm.

The need for understanding the role of uncertainty in quantitative decision models, both in economics and management science provide the basic motivation of this monograph. About this book The theory of optimal decisions in a stochastic environment has seen many new developments in recent years.

The implications of such theory for empirical and policy applications are several. This book attempts to analyze some of the impor tant applied aspects of this theory and its recent developments. Optimal Financial Decision Making under Uncertainty. Giorgio Consigli and Others asset pricing, optimal portfolio management, risk measurement, risk control and asset-liability management.

Other Books in This Series See All. Scheduling with Time-Changing Effects and Rate-Modifying Activities. The theory of optimal decisions in a stochastic environment has seen many new developments in recent years.

The implications of such theory for empirical and policy applications are several. This book attempts to analyze some of the impor tant. Focusing on two methods for designing decision agents, planning and reinforcement learning, the book covers probabilistic models, introducing Bayesian networks as a graphical model that captures probabilistic relationships between variables; utility theory as a framework for understanding optimal decision making under uncertainty; Markov decision processes as a method for modeling sequential problems; model uncertainty; state uncertainty; and cooperative decision Cited by: ABSTRACT.

This paper presents a method for determining optimal decision under ‘uncertainty’ situations. A simple algorithm is developed to establish the probability function of all the input variables.

The application of this algorithm is illustrated through an equipment justification : U. Saxena, A. Garg. Focusing on two methods for designing decision agents, planning and reinforcement learning, the book covers probabilistic models, introducing Bayesian networks as a graphical model that captures probabilistic relationships between variables; utility theory as a framework for understanding optimal decision making under uncertainty; Markov decision processes as a method for modeling sequential problems; model uncertainty; state uncertainty; and cooperative decision.

making under uncertainty in one place, much as the book by Puterman [] on Markov decision processes did for Markov decision process theory. In partic-ular, the aim is to give a uni ed account of algorithms and theory for sequential decision making problems, including reinforcement learning.

Starting from el-ementary statistical decision theory, we progress to File Size: 1MB. 11 Optimal Financial Decision Making under Uncertainty A popular approach to combat estimation errors in input parameters of ﬁnancial optimization models is.

A common tradeoff in such decisions involves those between the magnitude of the expected rewards and the uncertainty of obtaining the rewards. For instance, a decision maker may choose to forgo the high expected rewards of investing in the stock market and settle instead for the lower expected reward and much less uncertainty of a savings account.

Risk Aversion in Decision Models.- Introduction.- Risk Aversion in Economic Models.- Applications in Other Models.- Selected Empirical Applications.- 4 Linear Allocation Rules Under Uncertainty.- Introduction.- Comparative Analysis of Allocation Rules.- Estimation and Regulation by Allocation.- Team Decisions as.

This book provides an introduction to the challenges of decision making under uncertainty from a computational perspective. It presents both the theory behind decision making models and algorithms and a collection of example applications that range from speech recognition to aircraft collision avoidance.

These three characteristics interact to determine the optimal decisions of investors. This interaction is the focus of this book. We develop the theory of irreversible investment under uncertainty, and illustrate it with some practical applications. 1 The orthodox theory of investment has not recognized the important qualitative andFile Size: KB.

decision making under risk to decision making with certainty –Build the large plant if you know for sure that a favorable market will prevail –Do nothing if you know for sure that an unfavorable market will prevail States of Nature Favorable Unfavorable Decision p = p = Large plant $, -$, Small plant $, -$20, Publisher Summary This chapter focuses on optimal investment decision under uncertainty.

The central issue is the role of risk and risk aversion in investment behavior. The case of an investor choosing between two assets—a risky asset and a riskless asset—is performed. Additional Physical Format: Online version: Sengupta, Jatikumar.

Optimal decisions under uncertainty. Berlin ; New York: Springer-Verlag, (OCoLC) Buy Optimal Financial Decision Making under Uncertainty (International Series in Operations Research & Management Science) 1st ed.

by Consigli, Giorgio, Kuhn, Daniel, Brandimarte, Paolo (ISBN: ) from Amazon's Book Store. Everyday low prices and free delivery on eligible : Paolo Brandimarte.

Decision Making Under Uncertainty shows you how to make the best possible decision given an uncertain environment. The models and techniques in this book combine the power of Microsoft Excel and Palisade’s RISKOptimizer add-in to find the best answers to problems affected by uncertainty.

Genetic optimization combines with Monte Carlo simulation to provide optimal. ‘In Optimal Monetary Policy Under Uncertainty, academicians and economists Richard T.

Froyen and Alfred V. Guender have collaborated on presenting an informed and informative survey of optimal monetary policy literature arising during the s and s as a ground work for understanding current market and other economic influences on such germane issues as.

The book starts by introducing the basic concepts of risk and risk aversion that are crucial throughout the rest of the text. Part two of the text applies these basic concepts to a multitude of personal decisions under risk. Part 3 uses the results about personal decision making to show how markets for risk are organized and how risky assets.In our T-shirt example, the EMV under conditions of uncertainty for the optimal decision of ordering units was found to be Rs.

To compute the EMV under conditions of certainty, we start with the assumption that the decision-maker selected the option with the highest payoff for each of the alternatives.My research is on decisions under uncertainty and I work on related problems in stochastic optimal control, Markov decision processes, nonlinear partial differential equations, probability theory, mathematical finance and financial economics.