Title :
Target-setting problem with exponential utility
Author :
Krzysztofowicz, R.
Author_Institution :
Dept. of Syst. Eng., Virginia Univ., Charlottesville, VA
Abstract :
A classic target-setting problem with a two-piece linear outcome function is extended to include an exponential utility function over outcomes and a normal distribution over uncertain inputs. An expression for the optimal target is derived that facilitates the decision and sensitivity analyses
Keywords :
decision theory; sensitivity analysis; 2-piece linear outcome function; exponential utility; sensitivity analyses; target-setting problem; Analysis of variance; Contracts; Distribution functions; Gaussian distribution; Knowledge management; Power generation; Reservoirs; Sensitivity analysis; State-space methods; Uncertainty;
Journal_Title :
Systems, Man and Cybernetics, IEEE Transactions on
