Risk Management for Online Simplified Bahncard Problem

Author

Xin, Chun-lin ; Wen-Tian Gui ; Ma, Wei-min

Author_Institution

Sch. of Manage., Xi´´an Jiaotong Univ.

fYear

2006

fDate

13-16 Aug. 2006

Firstpage

715

Lastpage

720

Abstract

The Bahncard problem is a generalization of the Ski-Rental problem. Previous research approaches on the Bahncard problem have mostly focused on the "pure" competitive analysis that "deliberately" ignores all available information. Fleischer presented a deterministic (2-beta)-competitive online algorithm and showed that this is the best competitiveness of a deterministic strategy for the BP (C,beta,T). Recently Karlin, Kenyon and Randall developed a randomized on-line algorithm that achieves an optimal competitive ratio of (e/(e-1))~1.58. In this paper, risk management is introduced to restudy the simplified Bahncard problem and the research results show that the performance measure of competitive analysis can be dramatically improved

Keywords

competitive algorithms; decision making; decision theory; economic forecasting; forecasting theory; game theory; investment; risk management; Ski-Rental problem; deterministic competitive online algorithm; economic forecasting; investor risk tolerance; online simplified Bahncard problem; randomized online algorithm; risk management; risk-reward analysis; Algorithm design and analysis; Bayesian methods; Conference management; Cybernetics; Decision making; Economic forecasting; Extraterrestrial measurements; Information analysis; Machine learning; Optimized production technology; Performance analysis; Probability distribution; Rail transportation; Risk analysis; Risk management; Bahncard problem; Competitive analysis; Competitive ratio; Risk management;

fLanguage

English

Publisher

ieee

Conference_Titel

Machine Learning and Cybernetics, 2006 International Conference on

Conference_Location

Dalian, China

Print_ISBN

1-4244-0061-9

Type

conf

DOI

10.1109/ICMLC.2006.258441

Filename

4028156