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
fDate :
10/1/1979 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1979.1102167