Related papers: Utility of Choice: An Information Theoretic Approa…
Structured utility models are essential for the effective representation and elicitation of complex multiattribute utility functions. Generalized additive independence (GAI) models provide an attractive structural model of user preferences,…
We consider black-box global optimization of time-consuming-to-evaluate functions on behalf of a decision-maker (DM) whose preferences must be learned. Each feasible design is associated with a time-consuming-to-evaluate vector of…
In the present article we use the quantum formalism to describe the effects of risk and ambiguity in decision theory. The main idea is that the probabilities in the classic theory of expected utility are estimated probabilities, and thus do…
[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…
Richard Cox [1] set the axiomatic foundations of probable inference and the algebra of propositions. He showed that consistency within these axioms requires certain rules for updating belief. In this paper we use the analogy between…
We extend well-known comparative results under expected utility to models of non-expected utility by providing novel conditions on local utility functions. We illustrate how our results parallel, and are distinct from, existing results for…
This work derives an approximate analytical single period solution of the portfolio choice problem for the power utility function. It is possible to do so if we consider that the asset returns follow a multivariate normal distribution. It…
We demonstrate that a ubiquitous feature of network games, bilateral strategic interactions, is equivalent to having player utilities that are additively separable across opponents. We distinguish two formal notions of bilateral strategic…
Models to price long term loans in the securities lending business are developed. These longer horizon deals can be viewed as contracts with optionality embedded in them. This insight leads to the usage of established methods from…
The von Neumann and Morgenstern theory postulates that rational choice under uncertainty is equivalent to maximization of expected utility (EU). This view is mathematically appealing and natural because of the affine structure of the space…
Data-driven decision making plays an important role even in high stakes settings like medicine and public policy. Learning optimal policies from observed data requires a careful formulation of the utility function whose expected value is…
We consider the quantum resource theory of measurement informativeness and introduce a weight-based quantifier of informativeness. We show that this quantifier has operational significance from the perspective of quantum state exclusion, by…
As AIs rapidly advance and become more agentic, the risk they pose is governed not only by their capabilities but increasingly by their propensities, including goals and values. Tracking the emergence of goals and values has proven a…
Decentralized resource allocation is a key problem for large-scale autonomic (or self-managing) computing systems. Motivated by a data center scenario, we explore efficient techniques for resolving resource conflicts via cooperative…
We investigate a continuous-time investment-consumption problem with model uncertainty in a general diffusion-based market with random model coefficients. We assume that a power utility investor is ambiguity-averse, with the preference to…
We consider a general discrete-time financial market with proportional transaction costs as in [Kabanov, Stricker and R\'{a}sonyi Finance and Stochastics 7 (2003) 403--411] and [Schachermayer Math. Finance 14 (2004) 19--48]. In addition to…
This paper studies an optimal consumption-investment problem for an investor whose instantaneous utility depends on both consumption and wealth, and the investor faces a general borrowing constraint that the investment amount in the risky…
We study information elicitation in cost-function-based combinatorial prediction markets when the market maker's utility for information decreases over time. In the sudden revelation setting, it is known that some piece of information will…
A central concept within informatics is in modelling such systems for the purpose of reasoning (perhaps automated) about their behaviour and properties. To this end, one requires an interpretation of logical formulae in terms of the…
A recent line of work, starting with Beigman and Vohra (2006) and Zadimoghaddam and Roth (2012), has addressed the problem of {\em learning} a utility function from revealed preference data. The goal here is to make use of past data…