Related papers: Utility function estimation: the entropy approach
Recent literature in the last Maximum Entropy workshop introduced an analogy between cumulative probability distributions and normalized utility functions. Based on this analogy, a utility density function can de defined as the derivative…
We apply the maximum entropy principle to economic systems in equilibrium and find the density function for the market's wealth. This is the same as price density which is used for insurance pricing. The risk aversion parameter of the agent…
The notion of utility maximising entropy (u-entropy) of a probability density, which was introduced and studied by Slomczynski and Zastawniak (Ann. Prob 32 (2004) 2261-2285, arXiv:math.PR/0410115 v1), is extended in two directions. First,…
The principle of maximum entropy is a broadly applicable technique for computing a distribution with the least amount of information possible constrained to match empirical data, for instance, feature expectations. We seek to generalize…
We describe a method to computationally estimate the probability density function of a univariate random variable by applying the maximum entropy principle with some local conditions given by Gaussian functions. The estimation errors and…
Maximum entropy method is a constructive criterion for setting up a probability distribution maximally non-committal to missing information on the basis of partial knowledge, usually stated as constrains on expectation values of some…
Rewards typically express desirabilities or preferences over a set of alternatives. Here we propose that rewards can be defined for any probability distribution based on three desiderata, namely that rewards should be real-valued, additive…
Decision theory does not traditionally include uncertainty over utility functions. We argue that the a person's utility value for a given outcome can be treated as we treat other domain attributes: as a random variable with a density…
Many fairness criteria constrain the policy or choice of predictors, which can have unwanted consequences, in particular, when optimizing the policy under such constraints. Here, we advocate to instead focus on the utility function the…
Recommendations based on behavioral data may be faced with ambiguous statistical evidence. We consider the case of association rules, relevant e.g.~for query and product recommendations. For example: Suppose that a customer belongs to…
The Principle of Maximum Entropy is a rigorous technique for estimating an unknown distribution given partial information while simultaneously minimizing bias. However, an important requirement for applying the principle is that the…
Inferring a decision maker's utility function typically involves an elicitation phase where the decision maker responds to a series of elicitation queries, followed by an estimation phase where the state-of-the-art is to either fit the…
We provide sufficient conditions under which a utility function may be recovered from a finite choice experiment. Identification, as is commonly understood in decision theory, is not enough. We provide a general recoverability result that…
We consider the problem of estimating the population probability distribution given a finite set of multivariate samples, using the maximum entropy approach. In strict keeping with Jaynes' original definition, our precise formulation of the…
[Context and motivation:] For realistic self-adaptive systems, multiple quality attributes need to be considered and traded off against each other. These quality attributes are commonly encoded in a utility function, for instance, a…
The principle of maximum entropy is a broadly applicable technique for computing a distribution with the least amount of information possible while constrained to match empirically estimated feature expectations. However, in many real-world…
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic…
We consider an agent interacting with an unknown environment. The environment is a function which maps natural numbers to natural numbers; the agent's set of hypotheses about the environment contains all such functions which are computable…
Motivated by the analysis of a general optimal portfolio selection problem, which encompasses as special cases an optimal consumption and an optimal debt-arrangement problem, we are concerned with the questions of how a personality trait…
An agent choosing between various actions tends to take the one with the lowest cost. But this choice is arguably too rigid (not adaptive) to be useful in complex situations, e.g., where exploration-exploitation trade-off is relevant in…