Related papers: Utility function estimation: the entropy approach
We investigate the application of classification techniques to utility elicitation. In a decision problem, two sets of parameters must generally be elicited: the probabilities and the utilities. While the prior and conditional probabilities…
In this paper we have devised an alternative methodological approach for quantifying utility in terms of expected information content of the decision-maker's choice set. We have proposed an extension to the concept of utility by…
A formulation of the density functional theory is constructed on the foundations of entropic inference. The theory is introduced as an application of maximum entropy for inhomogeneous fluids in thermal equilibrium. It is shown that entropic…
Expected utility maximization problems in mathematical finance lead to a generalization of the classical definition of entropy. It is demonstrated that a necessary and sufficient condition for the second law of thermodynamics to operate is…
We extend the problem of obtaining an estimator for the finite population mean parameter incorporating complete auxiliary information through calibration estimation in survey sampling but considering a functional data framework. The…
Maximum entropy principle identifies forces conjugated to observables and the thermodynamic relations between them, independent upon their underlying mechanistic details. For data about state distributions or transition statistics, the…
There are three ways to conceptualize entropy: entropy as an extensive thermodynamic quantity of physical systems (Clausius, Boltzmann, Gibbs), entropy as a measure for information production of ergodic sources (Shannon), and entropy as a…
For the purpose of causal inference we employ a stochastic model of the data generating process, utilizing individual propensity probabilities for the treatment, and also individual and counterfactual prognosis probabilities for the…
It is supposed that the exponential multiplier in the method of the non-equilibrium statistical operator (Zubarev`s approach) can be considered as a distribution density of the past lifetime of the system, and can be replaced by an…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
Semi-continuous data comes from a distribution that is a mixture of the point mass at zero and a continuous distribution with support on the positive real line. A clear example is the daily rainfall data. In this paper, we present a novel…
This paper mainly focuses on the utilization frequency in receiving end of communication systems, which shows the inclination of the user about different symbols. When the average number of use is limited, a specific utility distribution is…
This paper studies decision problems where the decision maker's choice of action affects the probability distribution of a payoff relevant random variable. We establish sufficient conditions for the existence of an expected utility…
How to find unknown distributions is questioned in many pieces of research. There are several ways to figure them out, but the main question is which acts more reasonably than others. In this paper, we focus on the maximum entropy principle…
Ramsey (1926) sketches a proposal for measuring the subjective probabilities of an agent by their observable preferences, assuming that the agent is an expected utility maximizer. I show how to extend the spirit of Ramsey's method to a…
The concept of Relative Divergence of one Grading Function from another is extended from totally ordered chains to power sets of finite event spaces. Shannon Entropy concept is extended to normalized grading functions on such power sets.…
We pursue an inverse approach to utility theory and consumption & investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment…
A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typically uses only one form of utility function such as the…
We revisit the problem of portfolio selection, where an investor maximizes utility subject to a risk constraint. Our framework is very general and accommodates a wide range of utility and risk functionals, including non-concave utilities…
Estimations of physical parameters using data usually involve non-uniform experimental efficiencies. In this article, a method of maximum likelihood fit is introduced using the efficiency as a weight, while the probability distribution…