DocumentCode :
830709
Title :
On the rationality of some decision roles in a stochastic environment
Author :
Cohen, Guy ; Bernhard, Pierre
Author_Institution :
Centre d´´Automatique et d´´Informatique, Fountainebleau, Cedex, France
Volume :
24
Issue :
5
fYear :
1979
fDate :
10/1/1979 12:00:00 AM
Firstpage :
793
Lastpage :
794
Abstract :
A classical decision rule consists of finding the decision which minimizes the expected cost. Liberty and Hartwig [1] proposed another decision rule which consists of minimizing a combination of the expectation and the variance of the cost in order to reduce the probability of bad realizations. We show that this decision rule does not meet a "minimal rationality requirement" in general. We relate it to another one and exhibit special cases when it does so.
Keywords :
Decision procedures; Linear systems, stochastic continuous-time; Optimal stochastic control; Stochastic optimal control; Costs; Ear; Eigenvalues and eigenfunctions; Performance analysis; Power system analysis computing; Power system dynamics; Power system modeling; Power system simulation; Probability; Stochastic processes;
fLanguage :
English
Journal_Title :
Automatic Control, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9286
Type :
jour
DOI :
10.1109/TAC.1979.1102167
Filename :
1102167
Link To Document :
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