Related papers: Utility function estimation: the entropy approach
Entropy is a measure of self-information which is used to quantify losses. Entropy was developed in thermodynamics, but is also used to compare probabilities based on their deviating information content. Corresponding model uncertainty is…
Within the task of collaborative filtering two challenges for computing conditional probabilities exist. First, the amount of training data available is typically sparse with respect to the size of the domain. Thus, support for higher-order…
This paper proposes a systematic framework to design a classification model that yields a classifier which optimizes a utility function based on prior knowledge. Specifically, as the data size grows, we prove that the produced classifier…
In this paper, we first consider a Bayesian framework and model the "utility function" in terms of fuzzy random variables. On the basis of this model, we define the "prior (fuzzy) expected utility" associated with each action, and the…
It is possible to derive the maximum entropy principle from thermodynamic stability requirements. Using as a starting point the equilibrium probability distribution, currently used in non-extensive thermostatistics, it turns out that the…
In machine learning or scientific computing, model performance is measured with an objective function. But why choose one objective over another? Information theory gives one answer: To maximize the information in the model, select the…
Maximum entropy estimation is of broad interest for inferring properties of systems across many different disciplines. In this work, we significantly extend a technique we previously introduced for estimating the maximum entropy of a set of…
Approaches to decision-making under uncertainty in the belief function framework are reviewed. Most methods are shown to blend criteria for decision under ignorance with the maximum expected utility principle of Bayesian decision theory. A…
This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positive and negative wealth. We prove the…
A decision maker's utility depends on her action $a\in A \subset \mathbb{R}^d$ and the payoff relevant state of the world $\theta\in \Theta$. One can define the value of acquiring new information as the difference between the maximum…
We implement nonparametric revealed-preference tests of subjective expected utility theory and its generalizations. We find that a majority of subjects' choices are consistent with the maximization of some utility function. They respond to…
This paper modifies Jaynes's axioms of plausible reasoning and derives the minimum relative entropy principle, Bayes's rule, as well as maximum likelihood from first principles. The new axioms, which I call the Optimum Information…
This paper investigates an optimal consumption-investment problem featuring recursive utility via Tsallis relative entropy. We establish a fundamental connection between this optimization problem and a quadratic backward stochastic…
The maximum entropy approach operating with quite general entropy measure and constraint is considered. It is demonstrated that for a conditional or parametrized probability distribution $f(x|\mu)$ there is a "universal" relation among the…
We propose an efficient algorithm for estimation of possibility based qualitative expected utility. It is useful for decision making mechanisms where each possible decision is assigned a multi-attribute possibility distribution. The…
In the general framework of a semimartingale financial model and a utility function $U$ defined on the positive real line, we compute the first-order expansion of marginal utility-based prices with respect to a ``small'' number of random…
We provide a new algorithm for solving Risk Sensitive Partially Observable Markov Decisions Processes, when the risk is modeled by a utility function, and both the state space and the space of observations is finite. This algorithm is based…
Entropy is a measure of heterogeneity widely used in applied sciences, often when data are collected over space. Recently, a number of approaches has been proposed to include spatial information in entropy. The aim of entropy is to…
The issue of discrete probability estimation for samples of small size is addressed in this study. The maximum likelihood method often suffers over-fitting when insufficient data is available. Although the Bayesian approach can avoid…
We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic…