Related papers: Utility Function from Maximum Entropy Principle
Maximum-entropy distributions are shown to appear in the probability calculus as approximations of a model by exchangeability or a model by sufficiency, the former model being preferable. The implications of this fact are discussed,…
Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant…
In addition to the well known common properties such as small world and community structures, recent empirical investigations suggest a universal scaling law for the spatial structure of social networks. It is found that the probability…
A financial market is a system resulting from the complex interaction between participants in a closed economy. We propose a minimal microscopic model of the financial market economy based on the real economy's symmetry constraint and…
The principle of least effort is believed to be a universal rule for living systems. Its application to the derivation of the power law probability distributions of living systems has long been challenging. Recently, a measure of efficiency…
In this work we analytically solve an optimal retirement problem, in which the agent optimally allocates the risky investment, consumption and leisure rate to maximise a gain function characterised by a power utility function of consumption…
We consider a monopoly insurance market with a risk-neutral profit-maximizing insurer and a consumer with Yaari Dual Utility preferences that distort the given continuous loss distribution. The insurer observes the loss distribution but not…
Work extraction in quantum finite systems is an important issue in quantum thermodynamics. The optimal work extracted is called ergotropy, and it is achieved by maximizing the average work extracted over all the unitary cycles. However, an…
We propose a density functional to find the ground state energy and density of interacting particles, where both the density and the pair density can adjust in the presence of an inhomogeneous potential. As a proof of principle we formulate…
The universal bound on specific entropy was originally inferred from black hole thermodynamics. We here show from classical thermodynamics alone that for a system at fixed volume or fixed pressure, the ratio of entropy to nonrelativistic…
The application of principles of thermodynamics and statistical mechanics to economic systems is considered in a broad historical perspective, extending from prehistoric times to the present day. The hypothesis of maximum entropy production…
Maximum entropy reinforcement learning integrates exploration into policy learning by providing additional intrinsic rewards proportional to the entropy of some distribution. In this paper, we propose a novel approach in which the intrinsic…
We propose a method to derive the stationary size distributions of a system, and the degree distributions of networks, using maximisation of the Gibbs-Shannon entropy. We apply this to a preferential attachment-type algorithm for systems of…
In its continuous version, the entropy functional measuring the information content of a given probability density may be plagued by a "measure" problem that results from improper weighting of phase space. This issue is addressed…
Approximations to utility indifference prices are provided for a contingent claim in the large position size limit. Results are valid for general utility functions on the real line and semi-martingale models. It is shown that as the…
With use of the Second Inverse Maximum Entropy Principle we find entropy functions for systems with fractal distribution functions with order parameter $q$. We compare these entropy functions with those given by the Bose-Einstein and…
We propose a continuous-time nonlinear model of opinion dynamics with utility-maximizing agents connected via a social influence network. A distinguishing feature of the proposed model is the inclusion of an opinion-dependent…
We construct the generalized entropy optimized by a given arbitrary statistical distribution with a finite linear expectation value of a random quantity of interest. This offers, via the maximum entropy principle, a unified basis for a…
The minimum entropy production principle provides an approximative variational characterization of close-to-equilibrium stationary states, both for macroscopic systems and for stochastic models. Analyzing the fluctuations of the empirical…
We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsurance. Moreover, investment in a financial market is possible. The financial market is also…