Axiomatisation of fully probabilistic design

0367271 - ÚTIA 2012 RIV US eng J - Journal Article
Kárný, Miroslav - Kroupa, Tomáš
Axiomatisation of fully probabilistic design.
Information Sciences. Roč. 186, č. 1 (2012), s. 105-113. ISSN 0020-0255. E-ISSN 1872-6291
R&D Projects: GA MŠMT(CZ) 2C06001; GA ČR GA102/08/0567
Institutional research plan: CEZ:AV0Z10750506
Keywords : Bayesian decision making * Fully probabilistic design * Kullback–Leibler divergence * Unified decision making
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 3.643, year: 2012
http://library.utia.cas.cz/separaty/2011/AS/karny-0367271.pdf

This text provides background of fully probabilistic design (FPD) of decision-making strategies and shows that it is a proper extension of the standard Bayesian decision making. FPD essentially minimises Kullback–Leibler divergence of closed-loop model on its ideal counterpart. The inspection of the background is important as the current motivation for FPD is mostly heuristic one, while the technical development of FPD confirms its far reaching possibilities. FPD unifies and simplifies subtasks and elements of decision making under uncertainty. For instance, (i) both system model and decision preferences are expressed in common probabilistic language; (ii) optimisation is simplified due to existence of explicit minimiser in stochastic dynamic programming; (iii) DM methodology for single and multiple aims is unified.
Permanent Link: http://hdl.handle.net/11104/0202012