Risk-Sensitive Competitive Bidding Model and Impact of Risk Aversion and Cost Uncertainty on Optimum Bid

2022 ◽  
Vol 148 (3) ◽  
Author(s):  
Photios G. Ioannou
Keyword(s):  
Risk Aversion ◽  
Competitive Bidding ◽  
Cost Uncertainty ◽  
Risk Sensitive

Cost Uncertainty in Competitive Bidding Models

1978 ◽  
Vol 29 (4) ◽  
pp. 361-372 ◽  
Author(s):  
P. A. Naert ◽  
M. Weverbergh
Keyword(s):  
Competitive Bidding ◽  
Cost Uncertainty ◽  
Bidding Models

Risk-sensitive linear/quadratic/gaussian control

1981 ◽  
Vol 13 (4) ◽  
pp. 764-777 ◽  
Author(s):  
P. Whittle
Keyword(s):  
Optimal Control ◽  
Kalman Filter ◽  
Risk Aversion ◽  
Separation Theorem ◽  
Linear Quadratic ◽  
Criterion Function ◽  
Linear Quadratic Gaussian ◽  
State Estimate ◽  
Certainty Equivalence ◽  
Risk Sensitive

The conventional linear/quadratic/Gaussian assumptions are modified in that minimisation of the expectation of cost G defined by (2) is replaced by minimisation of the criterion function (5). The scalar –θ is a measure of risk-aversion. It is shown that modified versions of certainty equivalence and the separation theorem still hold, that optimal control is still linear Markov, and state estimate generated by a version of the Kalman filter. There are also various new features, remarked upon in Sections 5 and 7. The paper generalises earlier work of Jacobson.

Cost Uncertainty in Competitive Bidding Models

1978 ◽  
Vol 29 (4) ◽  
pp. 361
Author(s):  
P. A. Naert ◽  
M. Weverbergh
Keyword(s):  
Competitive Bidding ◽  
Cost Uncertainty ◽  
Bidding Models

Risk-sensitive linear/quadratic/gaussian control

1981 ◽  
Vol 13 (04) ◽  
pp. 764-777 ◽  
Author(s):  
P. Whittle
Keyword(s):  
Optimal Control ◽  
Kalman Filter ◽  
Risk Aversion ◽  
Separation Theorem ◽  
Linear Quadratic ◽  
Criterion Function ◽  
Linear Quadratic Gaussian ◽  
State Estimate ◽  
Certainty Equivalence ◽  
Risk Sensitive

The conventional linear/quadratic/Gaussian assumptions are modified in that minimisation of the expectation of cost G defined by (2) is replaced by minimisation of the criterion function (5). The scalar –θ is a measure of risk-aversion. It is shown that modified versions of certainty equivalence and the separation theorem still hold, that optimal control is still linear Markov, and state estimate generated by a version of the Kalman filter. There are also various new features, remarked upon in Sections 5 and 7. The paper generalises earlier work of Jacobson.

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