scholarly journals Risk-sensitive optimal stopping with unbounded terminal cost function

2022 ◽  
Vol 27 (none) ◽  
Author(s):  
Damian Jelito ◽  
Łukasz Stettner
Keyword(s):  
Cost Function ◽  
Optimal Stopping ◽  
Risk Sensitive

scholarly journals Risk sensitive optimal stopping

2021 ◽  
Vol 136 ◽  
pp. 125-144
Author(s):  
Damian Jelito ◽  
Marcin Pitera ◽  
Łukasz Stettner
Keyword(s):  
Optimal Stopping ◽  
Risk Sensitive

scholarly journals Double Optimal Stopping in the Fishing Problem

2009 ◽  
Vol 46 (02) ◽  
pp. 415-428
Author(s):  
Anna Karpowicz
Keyword(s):  
Dynamic Programming ◽  
Cost Function ◽  
Utility Function ◽  
Optimal Stopping ◽  
Renewal Process ◽  
Fixed Time ◽  
Time Dependent ◽  
Stopping Times ◽  
The Difference ◽  
Optimal Stopping Times

In this paper we consider the following problem. An angler buys a fishing ticket that allows him/her to fish for a fixed time. There are two locations to fish at the lake. The fish are caught according to a renewal process, which is different for each fishing location. The angler's success is defined as the difference between the utility function, which is dependent on the size of the fish caught, and the time-dependent cost function. These functions are different for each fishing location. The goal of the angler is to find two optimal stopping times that maximize his/her success: when to change fishing location and when to stop fishing. Dynamic programming methods are used to find these two optimal stopping times and to specify the expected success of the angler at these times.

scholarly journals Double Optimal Stopping in the Fishing Problem

2009 ◽  
Vol 46 (2) ◽  
pp. 415-428 ◽  
Author(s):  
Anna Karpowicz
Keyword(s):  
Dynamic Programming ◽  
Cost Function ◽  
Utility Function ◽  
Optimal Stopping ◽  
Renewal Process ◽  
Fixed Time ◽  
Time Dependent ◽  
Stopping Times ◽  
The Difference ◽  
Optimal Stopping Times

In this paper we consider the following problem. An angler buys a fishing ticket that allows him/her to fish for a fixed time. There are two locations to fish at the lake. The fish are caught according to a renewal process, which is different for each fishing location. The angler's success is defined as the difference between the utility function, which is dependent on the size of the fish caught, and the time-dependent cost function. These functions are different for each fishing location. The goal of the angler is to find two optimal stopping times that maximize his/her success: when to change fishing location and when to stop fishing. Dynamic programming methods are used to find these two optimal stopping times and to specify the expected success of the angler at these times.

scholarly journals EFFECT OF RISK-SENSITIVE STOCHASTIC OPTIMAL CONTROL WITH TRACKING IN AN EVAPORATOR

2022 ◽  
Vol 11 (1) ◽  
pp. [12 P]-[12 P]
Author(s):  
María Aracelia Alcorta García ◽  
SANTOS MENDEZ DIAZ ◽  
JOSE ARMANDO SAENZ ESQUEDA ◽  
GERARDO MAXIMILIANO MENDEZ DIAZ ◽  
NORA ELIZONDO VILLAREAL ◽  
...  
Keyword(s):  
Optimal Control ◽  
Cost Function ◽  
State Equation ◽  
The State ◽  
Quadratic Cost ◽  
Risk Sensitive ◽  
Stochastic Nonlinear System ◽  
Expansion Valve ◽  
Risk Sensitive Control ◽  
Quadratic Cost Function

This work presents an application of the Risk-Sensitive (R-S) control with tracking applied to a stochastic nonlinear system which models the operation of an electronic expansion valve (EEV) in a conventional evaporator. A novel dynamical stochastic equation represents the mathematical model of the evaporator system. The R-S stochastic optimal problem consists of the design of an optimal control u(t) such that the state reaches setpoint values (SP) and minimizes the exponential quadratic cost function. The presence of disturbances and errors in the sensor measurements is represented by Gauss white noise in the state equation, with the coefficient v(e/(2?^2 )) . One novel characteristic in this proposal is that the coefficient of the control into the state equation contains the state term. The error and exponential quadratic cost function show that the R-S control has a better performance versus the classical PID (Proportional, Integral Derivative) control. Key Words: Optimal Risk-Sensitive control with tracking, modelling of the evaporator.

scholarly journals Risk-sensitive inverse reinforcement learning via semi- and non-parametric methods

2018 ◽  
Vol 37 (13-14) ◽  
pp. 1713-1740 ◽  
Author(s):  
Sumeet Singh ◽  
Jonathan Lacotte ◽  
Anirudha Majumdar ◽  
Marco Pavone
Keyword(s):  
Reinforcement Learning ◽  
Cost Function ◽  
Risk Measure ◽  
Inverse Reinforcement Learning ◽  
Worst Case ◽  
Risk Sensitive ◽  
Wide Range ◽  
Risk Neutral ◽  
Parametric Algorithms ◽  
Non Parametric

The literature on inverse reinforcement learning (IRL) typically assumes that humans take actions to minimize the expected value of a cost function, i.e., that humans are risk neutral. Yet, in practice, humans are often far from being risk neutral. To fill this gap, the objective of this paper is to devise a framework for risk-sensitive (RS) IRL to explicitly account for a human’s risk sensitivity. To this end, we propose a flexible class of models based on coherent risk measures, which allow us to capture an entire spectrum of risk preferences from risk neutral to worst case. We propose efficient non-parametric algorithms based on linear programming and semi-parametric algorithms based on maximum likelihood for inferring a human’s underlying risk measure and cost function for a rich class of static and dynamic decision-making settings. The resulting approach is demonstrated on a simulated driving game with 10 human participants. Our method is able to infer and mimic a wide range of qualitatively different driving styles from highly risk averse to risk neutral in a data-efficient manner. Moreover, comparisons of the RS-IRL approach with a risk-neutral model show that the RS-IRL framework more accurately captures observed participant behavior both qualitatively and quantitatively, especially in scenarios where catastrophic outcomes such as collisions can occur.

Economies of Scale in Sewage Treatment Using a Translog Cost Function

2012 ◽  
Vol 74 (null) ◽  
pp. 35-46
Author(s):  
박선영 ◽  
Chongwon Kim ◽  
Seung-Hoon Yoo
Keyword(s):  
Cost Function ◽  
Economies Of Scale ◽  
Sewage Treatment ◽  
Translog Cost Function ◽  
Translog Cost

Estimacion de Economias de Escala en el Mercado de Tarjetas de Pago

2019 ◽  
Vol 12 (2) ◽  
pp. 86-92
Keyword(s):  
Cost Function ◽  
Economies Of Scale ◽  
Payment Methods ◽  
Per Se ◽  
Main Banks ◽  
Debit Cards

During the last years, the growth of transactions made through credit and debit cards has presented quite signif- icant increases both in number and in amounts. This paper studies the existence of economies of scale in the pro- cessing of such transactions, a situation that would exist if it were compatible with the existence of a single firm destined to the processing of said operations. The existence of a single firm for processing is not in itself a problem per se, which does generate problems for the competition is the structure of said firm, because for the period of time analyzed, its shareholder composition was composed of The main banks that issue these cards, but also have given them the function of being the acquirer of the merchants for these payment methods, which generates a vertically inte- grated structure, which creates competition problems in the market. After estimating the model indirectly from a cost function, this work determines the existence of economies of scale in the industry.

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