Théorie de l'utilité espérée

Résumé

La théorie de l'utilité espérée (aussi appelée théorie EU, de l'anglais « expected utility ») est une théorie de la décision en environnement risqué développée par John von Neumann et Oskar Morgenstern dans leur ouvrage Theory of Games and Economic Behavior (1944). Formalisation Introduisons d'abord quelques notations: L'incertitude est décrite par un ensemble d'états du monde \Omega=\left{ \omega_{1},...,\omega_{n}\right} partitionné par la famille de parties {\textstyle \mathcal{P}(\Omega)} (de taille 2^{n}). Un élément de {\textstyle \mathcal{P}(\Omega)} est appelé événement. Une variable aléatoire f est une fonction qui associe à chaque \omega un résultat noté x. L'ensemble des résultats est noté X, X étant un sous-ensemble de {\textstyle \mathbb{R}}. On écrit {\textstyle \mathcal{A}=\left{ f:\Omeg

Source officielle

https://fr.wikipedia.org/wiki/Th%C3%A9orie_de_l'utilit%C3%A9_esp%C3%A9r%C3%A9e

À propos de ce résultat

Cette page est générée automatiquement et peut contenir des informations qui ne sont pas correctes, complètes, à jour ou pertinentes par rapport à votre recherche. Il en va de même pour toutes les autres pages de ce site. Veillez à vérifier les informations auprès des sources officielles de l'EPFL.

Publications associées (3)

Publications associées

Chargement

Personnes associées

Chargement

Unités associées

Chargement

Concepts associés (29)

Concepts associés

Chargement

Cours associés (8)

The course covers a wide range of topics in investment analysis

This course provides an overview of the theory of asset pricing and portfolio choice theory following historical developments in the field and putting emphasis on theoretical models that help our understanding of financial decision making and financial markets.

Software agents are widely used to control physical, economic and financial processes. The course presents practical methods for implementing software agents and multi-agent systems, supported by programming exercises, and the theoretical underpinnings including computational game theory.

Afficher plus

Cours associés

Chargement

Séances de cours associées (20)

Séances de cours associées

Chargement

Bounding Inefficiency of Equilibria in Continuous Actions Games using Submodularity and Curvature

Andreas Krause

Games with continuous strategy sets arise in several machine learning problems (e.g. adversarial learning). For such games, simple no-regret learning algorithms exist in several cases and ensure convergence to coarse correlated equilibria (CCE). The efficiency of such equilibria with respect to a social function, however, is not well understood. In this paper, we define the class of valid utility games with continuous strategies and provide efficiency bounds for their CCEs. Our bounds rely on the social function being a monotone DR-submodular function. We further refine our bounds based on the curvature of the social function. Furthermore, we extend our efficiency bounds to a class of non-submodular functions that satisfy approximate submodularity properties. Finally, we show that valid utility games with continuous strategies can be designed to maximize monotone DR-submodular functions subject to disjoint constraints with approximation guarantees. The approximation guarantees we derive are based on the efficiency of the equilibria of such games and can improve the existing ones in the literature. We illustrate and validate our results on a budget allocation game and a sensor coverage problem.

PMLR2019

Chargement

A comparative study of compound critique generation in conversational recommender systems

Pearl Pu Faltings, Jiyong Zhang

Critiquing techniques provide an easy way for users to feedback their preferences over one or several attributes of the products in a conversational recommender system. While unit critiques only allow users to critique one attribute of the products each time, a well-generated set of compound critiques enables users to input their preferences on several attributes at the same time, and can potentially shorten the interaction cycles in finding the target products. As a result, the dynamic generation of compound critiques is a critical issue for designing the critique-based conversational recommender systems. In earlier research the Apriori algorithm has been adopted to generate compound critiques from the given data set. In this paper we propose an alternative approach for generating compound critiques based on the multi-attribute utility theory (MAUT). Our approach automatically updates the weights of the product attributes as the result of the interactive critiquing process. This modification of weights is then used to determine the compound critiques according to those products with the highest utility values. Our experiments show that the compound critiques generated by this approach are more efficient in helping users find their target products than those generated by the Apriori algorithm. © Springer-Verlag Berlin Heidelberg 2006.

Springer Verlag, Heidelberg, D-69121, Germany2006

Chargement

Equilibrium Prices for Monetary Utility Functions

Damir Filipovic

This paper provides sufficient and necessary conditions for the existence of equilibrium pricing rules for monetary utility functions under convex consumption constraints. These utility functions are characterized by the assumption of a fully fungible numeraire asset ("cash"). Each agent's utility is nominally shifted by exactly the amount of cash added to his endowment. We find the individual maximum utility that each agent is eligible for in an equilibrium and provide a game theoretic point of view for the fair allocation of the aggregate utility.

World Scientific Publishing2008

Chargement