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Value Function (value + function)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	37%
Engineering	25%
Mathematics and Statistics	11%
Medical Sciences	7%
4 Other Domains	20%

Selected Abstracts

Conditional Lifetime Data Analysis Using the Limited Expected Value Function

QUALITY AND RELIABILITY ENGINEERING INTERNATIONAL, Issue 3 2004
John Quigley
Abstract Much failure, and other event, data are commonly highly censored. Consequently this limits the efficacy of many statistical analysis techniques. The limited expected value (LEV) function presents an alternative way of characterizing lifetime distributions. In essence the LEV provides a means of calculating a truncated mean time to failure (MTTF) (or mean time before failure (MTBF) if appropriate) that is adjusted at each of the censoring times and so appears potentially suitable for dealing with censored data structures. In theory, the LEV has been defined for many standard distributions, however its practical use is not well developed. This paper aims to extend the theory of LEV for typical censoring structures to develop procedures that will assist in model identification as well as parameter estimation. Applications to typical event data will be presented and the use of LEV in comparison with a selection of existing lifetime distributional analysis will be made based on some preliminary research. Copyright © 2004 John Wiley & Sons, Ltd. [source]

Fuzzy Sarsa Learning and the proof of existence of its stationary points,

ASIAN JOURNAL OF CONTROL, Issue 5 2008
Vali Derhami
Abstract This paper provides a new Fuzzy Reinforcement Learning (FRL) algorithm based on critic-only architecture. The proposed algorithm, called Fuzzy Sarsa Learning (FSL), tunes the parameters of conclusion parts of the Fuzzy Inference System (FIS) online. Our FSL is based on Sarsa, which approximates the Action Value Function (AVF) and is an on-policy method. In each rule, actions are selected according to the proposed modified Softmax action selection so that the final inferred action selection probability in FSL is equivalent to the standard Softmax formula. We prove the existence of fixed points for the proposed Approximate Action Value Iteration (AAVI). Then, we show that FSL satisfies the necessary conditions that guarantee the existence of stationary points for it, which coincide with the fixed points of the AAVI. We prove that the weight vector of FSL with stationary action selection policy converges to a unique value. We also compare by simulation the performance of FSL and Fuzzy Q-Learning (FQL) in terms of learning speed, and action quality. Moreover, we show by another example the convergence of FSL and the divergence of FQL when both algorithms use a stationary policy. Copyright © 2008 John Wiley and Sons Asia Pte Ltd and Chinese Automatic Control Society [source]

A preference-based index for the SF-12

HEALTH ECONOMICS, Issue 6 2006
D. Stratmann-Schoene
Abstract Background: The SF-12 is a widely used generic measure of subjective health. As the scoring algorithms of the SF-12 do not include preference values, different approaches to assign a preference-based index are available that should be tested regarding their feasibility and validity. Objectives: To develop a concept for a preference-based index for the SF-12 on the basis of multi-attribute decision analysis and to perform initial tests of its feasibility and validity in an empirical study. Methods: A multi-attribute preference function for the SF-12 was developed, estimated and tested for validity. Two mail surveys (n = 100, 200) and an interview (n = 72) were conducted with women who had an operation for breast cancer. Visual analogue scale (VAS) and standard gamble (SG) measures elicited preference-based valuations. Results: Eight attributes were identified in the SF-12. Validity tests showed an average difference of 8 VAS score points between directly measured and predicted values for given health states. Conclusion: The initial results show that this approach might allow the direct assignment of a preference-based valuation to the SF-12. The quality of the psychometric features of the multi-attribute value function is encouraging. Future studies should test this concept more extensively, especially by determining parameters for a representative sample of the general population and by comparing performance with other approaches to value the SF-12. Copyright © 2005 John Wiley & Sons, Ltd. [source]

On optimal growth models when the discount factor is near 1 or equal to 1

INTERNATIONAL JOURNAL OF ECONOMIC THEORY, Issue 1 2006
Cuong Le Van
C61; O41 The aim of this paper is to fill the gap between intertemporal growth models when the discount factor is close to one and when it equals one. We show that the value function and the policy function are continuous with respect both to the discount factor, ,, and the initial stock of capital, x0. We prove that the optimal policy g,(x0) is differentiable and that Dg,(x0) is continuous with respect to (,, x0). As a by-product, a global turnpike result is proved. [source]

Simulation and discrete event optimization for automated decisions for in-queue flights

INTERNATIONAL JOURNAL OF INTELLIGENT SYSTEMS, Issue 5 2010
D. Dimitrakiev
The paper discusses simulation and optimization of in-queue flights, analyzed as discrete-event systems. Simulation is performed in a platform, based on MATLAB program functions and SIMULINK dynamic models. Regime optimization aims to maximize the controllability of the queue and minimize the fuel consumption of each aircraft (AC). Because of mutual preferential independence, a hierarchical additive value function is constructed, consisting of fuzzily estimated parameter value functions and weight coefficients and a multicriteria decision problem is solved under strict certainty. Two optimization algorithms are applied: one that finds the regime that leads to maximally preferred consequence and another that finds the regime with minimum total fuel consumption among those whose control parameters are set at their most preferred levels. A comparison between the two algorithms is proposed. A scheme describes how the optimization procedures can be used multiple times during the execution of the flight with respect to the occurrence of discrete events. Simulation results are also proposed for the discussed algorithms and procedures. © 2010 Wiley Periodicals, Inc. [source]

Inf,sup control of discontinuous piecewise affine systems

INTERNATIONAL JOURNAL OF ROBUST AND NONLINEAR CONTROL, Issue 13 2009
J. Spjøtvold
Abstract This paper considers the worst-case optimal control of discontinuous piecewise affine (PWA) systems, which are subjected to constraints and disturbances. We seek to pre-compute, via dynamic programming, an explicit control law for these systems when a PWA cost function is utilized. One difficulty with this problem class is that, even for initial states for which the value function of the optimal control problem is finite, there might not exist a control law that attains the infimum. Hence, we propose a method that is guaranteed to obtain a sub-optimal solution, and where the degree of sub-optimality can be specified a priori. This is achieved by approximating the underlying sub-problems with a parametric piecewise linear program. Copyright © 2008 John Wiley & Sons, Ltd. [source]

Aging and decision making: Differences in susceptibility to the risky-choice framing effect between older and younger adults in Japan

JAPANESE PSYCHOLOGICAL RESEARCH, Issue 3 2010
SATOSHI WATANABE
Abstract This study investigates the characteristics of the risky-choice framing effect among older adults (more than 65 years of age) in comparison to younger adults. Data from a questionnaire survey with randomly sampled participants from voter lists in two cities in northern Japan were reanalyzed. Wang's (1996) definition of the risky-choice framing effect was applied for analyzing data. The younger group showed a typical risky-choice framing effect, while the older group failed to show any framing effect. Both age groups in the positive frame showed an increasingly higher risk-aversive tendency corresponding to the monotonically increased number of human lives at risk. The modified value function was proposed to explain the susceptibility differences in the framing effect between the two groups. The socioemotional selectivity theory and the decision mode were applied for explaining the shape of the modified value function of the older group. [source]

A test of the metapopulation model of the species,area relationship

JOURNAL OF BIOGEOGRAPHY, Issue 8 2002
Stephen F. Matter
Abstract Aim The species,area relationship is a ubiquitous pattern. Previous methods describing the relationship have done little to elucidate mechanisms producing the pattern. Hanski & Gyllenberg (Science, 1997, 275, 397) have shown that a model of metapopulation dynamics yields predictable species,area relationships. We elaborate on the biological interpretation of this mechanistic model and test the prediction that communities of species with a higher risk of extinction caused by environmental stochasticity should have lower species,area slopes than communities experiencing less impact of environmental stochasticity. Methods We develop the mainland,island version of the metapopulation model and show that the slope of the species,area relationship resulting from this model is related to the ratio of population growth rate to variability in population growth of individual species. We fit the metapopulation model to five data sets, and compared the fit with the power function model and Williams's (Ecology, 1995, 76, 2607) extreme value function model. To test that communities consisting of species with a high risk of extinction should have lower slopes, we used the observation that small-bodied species of vertebrates are more susceptible to environmental stochasticity than large-bodied species. The data sets were divided into small and large bodied species and the model fit to both. Results and main conclusions The metapopulation model showed a good fit for all five data sets, and was comparable with the fits of the extreme value function and power function models. The slope of the metapopulation model of the species,area relationship was greater for larger than for smaller-bodied species for each of five data sets. The slope of the metapopulation model of the species,area relationship has a clear biological interpretation, and allows for interpretation that is rooted in ecology, rather than ad hoc explanation. [source]

Better product quality: When is it worth the added costs?

JOURNAL OF CORPORATE ACCOUNTING & FINANCE, Issue 3 2001
Ross L. Fink
Doing a cost/benefit analysis? Then you know that it's tough to estimate the value of improvements in product quality. When can you justify the added costs of better processes or materials? The authors have an answer: Use a value function to estimate the value of the improvement. And they show you how to do it. © 2001 John Wiley & Sons, Inc. [source]

Normative decision making with multiattribute performance targets

JOURNAL OF MULTI CRITERIA DECISION ANALYSIS, Issue 3-4 2009
Ali E. Abbas
Abstract Many companies set multiple performance targets for their managers and reward them on meeting a threshold value for each target or goal. Examples of such incentive structures abide in the managerial literature and in organizational settings. We show that this incentive structure, while popular, has two main problems: (i) it can induce managers who try to maximize the probability of meeting their performance targets to make decisions that are not compatible with expected utility maximizing decisions, and (ii) it may lead to trade-offs among the performance objectives that are inconsistent with the corporate value function. In this paper, we propose a method to remedy these two problems, while retaining a target-based incentive scheme. We define a multiattribute target as a deterministic region in the space of multiattribute outcomes that has two properties: (1) the probability that the outcome of a multiattribute lottery lies within the target region is equal to the expected utility of the lottery, and (2) all outcomes within the target region are preferred to all outcomes outside it. These two properties lead to a new quantity; which we call the ,value aspiration equivalent' that leads managers who maximize the probability of meeting their targets to simultaneously maximize the expected utility, and it also induces trade-offs that are consistent with the decision maker's value function. Copyright © 2009 John Wiley & Sons, Ltd. [source]

Utility transversality: a value-based approach

JOURNAL OF MULTI CRITERIA DECISION ANALYSIS, Issue 5-6 2005
James E. Matheson
Abstract We examine multiattribute decision problems where a value function is specified over the attributes of a decision problem, as is typically done in the deterministic phase of a decision analysis. When uncertainty is present, a utility function is assigned over the value function to represent the decision maker's risk attitude towards value, which we refer to as a value-based approach. A fundamental result of using the value-based approach is a closed form expression that relates the risk aversion functions of the individual attributes to the trade-off functions between them. We call this relation utility transversality. The utility transversality relation asserts that once the value function is specified there is only one dimension of risk attitude in multiattribute decision problems. The construction of multiattribute utility functions using the value-based approach provides the flexibility to model more general functional forms that do not require assumptions of utility independence. For example, we derive a new family of multiattribute utility functions that describes richer preference structures than the usual multilinear family. We also show that many classical results of utility theory, such as risk sharing and the notion of a corporate risk tolerance, can be derived simply from the utility transversality relations by appropriate choice of the value function. Copyright © 2007 John Wiley & Sons, Ltd. [source]

CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS

MATHEMATICAL FINANCE, Issue 4 2007
Christoph Kühn
Introduced by Kifer (2000), game options function in the same way as American options with the added feature that the writer may also choose to exercise, at which time they must pay out the intrinsic option value of that moment plus a penalty. In Kyprianou (2004) an explicit formula was obtained for the value function of the perpetual put option of this type. Crucial to the calculations which lead to the aforementioned formula was the perpetual nature of the option. In this paper we address how to characterize the value function of the finite expiry version of this option via mixtures of other exotic options by using mainly martingale arguments. [source]

CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND-PAYING STOCK IN A LOCAL VOLATILITY MODEL

MATHEMATICAL FINANCE, Issue 3 2005
Etienne ChevalierArticle first published online: 10 JUN 200
We consider an American put option on a dividend-paying stock whose volatility is a function of the stock value. Near the maturity of this option, an expansion of the critical stock price is given. If the stock dividend rate is greater than the market interest rate, the payoff function is smooth near the limit of the critical price. We deduce an expansion of the critical price near maturity from an expansion of the value function of an optimal stopping problem. It turns out that the behavior of the critical price is parabolic. In the other case, we are in a less regular situation and an extra logarithmic factor appears. To prove this result, we show that the American and European critical prices have the same first-order behavior near maturity. Finally, in order to get an expansion of the European critical price, we use a parity formula for exchanging the strike price and the spot price in the value functions of European puts. [source]

Using logarithmic penalties in the shooting algorithm for optimal control problems

OPTIMAL CONTROL APPLICATIONS AND METHODS, Issue 5 2003
J. F. Bonnans
Abstract The paper deals with optimal control problems of ordinary differential equations with bound control constraints. We analyse the logarithmic penalty method for converting the problem into an unconstrained one, the latter being solved by a shooting algorithm. Convergence of the value function and optimal controls is obtained for linear quadratic problems, and more generally when the control variable enters linearly in the state equation and in a quadratic way in the cost function. We display some numerical results on two examples: an aircraft maneuver, and the stabilization of an oscillating system. Copyright © 2003 John Wiley & Sons, Ltd. [source]

Determination of a controllable set for a class of non-linear stochastic control systems

OPTIMAL CONTROL APPLICATIONS AND METHODS, Issue 3 2003
Yazeng Liu
Abstract A controllable set of a class of non-linear stochastic control systems to a given set is defined. A value function associated with an optimal control problem is introduced. Under some reasonable conditions, the controllable set is characterized by a level set of the viscosity solution of a Hamilton,Jacobi,Bellman equation. Copyright © 2003 John Wiley & Sons, Ltd. [source]

Relativity, Rank and the Utility of Income,

THE ECONOMIC JOURNAL, Issue 528 2008
Matthew D. Rablen
Relative utility has become an important concept in several disjoint areas of economics. I present a cardinal model of income utility based on the supposition that agents care about their rank in the income distribution and that utility is subject to adaptation over time. Utility levels correspond to the Leyden Individual Welfare Function while utility differences yield a version of the prospect theory value function, thereby providing a new and shared derivation of each. I offer an explanation of some long-standing paradoxes in the wellbeing literature and an insight into the links between relative comparisons and loss aversion. [source]

A deterministic-control-based approach motion by curvature,

COMMUNICATIONS ON PURE & APPLIED MATHEMATICS, Issue 3 2006
Robert Kohn
The level-set formulation of motion by mean curvature is a degenerate parabolic equation. We show that its solution can be interpreted as the value function of a deterministic two-person game. More precisely, we give a family of discrete-time, two-person games whose value functions converge in the continuous-time limit to the solution of the motion-by-curvature PDE. For a convex domain, the boundary's "first arrival time" solves a degenerate elliptic equation; this corresponds, in our game-theoretic setting, to a minimum-exit-time problem. For a nonconvex domain the two-person game still makes sense; we draw a connection between its minimum exit time and the evolution of curves with velocity equal to the "positive part of the curvature." These results are unexpected, because the value function of a deterministic control problem is normally the solution of a first-order Hamilton-Jacobi equation. Our situation is different because the usual first-order calculation is singular. © 2005 Wiley Periodicals, Inc. [source]

An Empirical Study of Equivalence Judgments vs.

DECISION SCIENCES, Issue 2 2001
Ratio Judgments in Decision Analysis
Abstract Two commonly used elicitation modes on strength of preference, equivalence and ratio judgments, were compared in an experiment. The result from the experiment showed that ratio judgments were less effective than equivalence judgments. Based on an iterative design for eliciting multiattribute preference structures, equivalence judgments outperformed ratio judgments in estimating single-attribute measurable value functions, while being nearly more effective than ratio judgments in assessing multiattribute preference structures. The implications of the results from the experiment are that multiattribute decision-making techniques should take advantage of the decision maker's inclination of making effective equivalence trade-off judgments, and that useful techniques should be devised to incorporate different commonly used techniques, such as multiattribute utility theory and the Analytic Hierarchy Process, to elicit and consolidate equivalence trade-off judgments. [source]

Simulation and discrete event optimization for automated decisions for in-queue flights

Critical Theorizing: Enhancing Theoretical Rigor in Family Research

JOURNAL OF FAMILY THEORY & REVIEW, Issue 3 2009
Stan J. Knapp
Theory performs vital descriptive, sensitizing, integrative, explanatory, and value functions in the generation of knowledge about families. Yet theory and research can also simultaneously misconceive, desensitize, misdirect, misinterpret, and devalue. Overcoming the degenerative potentialities of theory and research requires attention to critical theorizing, a joint process of (a) critically examining the explicit and implicit assumptions of theory and research and (b) using dialogical theoretical practices. I draw upon the work of John Stuart Mill to argue that critical and dialogical theorizing is a vital and necessary practice in the production of understandings of family phenomena that are more fully scientific and empirical. A brief examination of behavioral research on marital interaction illustrates the importance of critical theorizing. [source]

Detection of the OH band fine structure in liquid water by means of new treatment procedure based on the statistics of the fractional moments

LASER PHYSICS LETTERS, Issue 11 2007
S.M. Pershin
Abstract Three main spectral components ,3210, 3450, and 3650 cm,1 separated by deep gaps in the Raman OH band of liquid water have been detected by a new treatment procedure of experimental data. The applied treatment is based on the statistics of the fractional moments. This approach includes the consideration of the total set of the moments (the fractional and even complex ones) and the generalized mean value functions (GMV) as a specific noise "label". The possibility of the extraction and quantitative description of the fine structure of the averaging experimental spectra is demonstrated. In the frame of the novel approach the reliable separation between Raman spectra of the distilled and Milli-Q water is obtained. (© 2007 by Astro Ltd., Published exclusively by WILEY-VCH Verlag GmbH & Co. KGaA) [source]

MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS

MATHEMATICAL FINANCE, Issue 2 2010
Julien Hugonnier
We analyze the implications of dynamic flows on a mutual fund's portfolio decisions. In our model, myopic investors dynamically allocate capital between a riskless asset and an actively managed fund which charges fraction-of-fund fees. The presence of dynamic flows induces "flow hedging" portfolio distortions on the part of the fund, even though investors are myopic. Our model predicts a positive relationship between a fund's proportional fee rate and its volatility. This is a consequence of higher-fee funds holding more extreme equity positions. Although both the fund portfolio and investors' trading strategies depend on the proportional fee rate, the equilibrium value functions do not. Finally, we show that our results hold even if investors are allowed to directly trade some of the risky securities. [source]

CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND-PAYING STOCK IN A LOCAL VOLATILITY MODEL

Analytic solution for the nucleolus of a three-player cooperative game,

NAVAL RESEARCH LOGISTICS: AN INTERNATIONAL JOURNAL, Issue 7 2010
Mingming Leng
Abstract The nucleolus solution for cooperative games in characteristic function form is usually computed numerically by solving a sequence of linear programing (LP) problems, or by solving a single, but very large-scale, LP problem. This article proposes an algebraic method to compute the nucleolus solution analytically (i.e., in closed-form) for a three-player cooperative game in characteristic function form. We first consider cooperative games with empty core and derive a formula to compute the nucleolus solution. Next, we examine cooperative games with nonempty core and calculate the nucleolus solution analytically for five possible cases arising from the relationship among the value functions of different coalitions. © 2010 Wiley Periodicals, Inc. Naval Research Logistics, 2010 [source]

Optimality of greedy and sustainable policies in the management of renewable resources

OPTIMAL CONTROL APPLICATIONS AND METHODS, Issue 1 2003
A. Rapaport
Abstract We consider a discrete-time modelling of renewable resources, which regenerate after a delay once harvested. We study the qualitative behaviour of harvesting policies, which are optimal with respect to a discounted utility function over infinite horizon. Using Bellman's equation, we derive analytically conditions under which two types of policies (greedy and sustainable) are optimal, depending on the discount rate and the marginal utility. For this particular class of problems, we show also that the greedy policy is attractive in a certain sense. The techniques of proof lie on concavity, comparison of value functions and Lyapunov-like functions. Copyright © 2003 John Wiley & Sons, Ltd. [source]

Flexible and Robust Implementations of Multivariate Adaptive Regression Splines Within a Wastewater Treatment Stochastic Dynamic Program

QUALITY AND RELIABILITY ENGINEERING INTERNATIONAL, Issue 7 2005
Julia C. C. Tsai
Abstract This paper presents an automatic and more robust implementation of multivariate adaptive regression splines (MARS) within the orthogonal array (OA)/MARS continuous-state stochastic dynamic programming (SDP) method. MARS is used to estimate the future value functions in each SDP level. The default stopping rule of MARS employs the maximum number of basis functions Mmax, specified by the user. To reduce the computational effort and improve the MARS fit for the wastewater treatment SDP model, two automatic stopping rules, which automatically determine an appropriate value for Mmax, and a robust version of MARS that prefers lower-order terms over higher-order terms are developed. Computational results demonstrate the success of these approaches. Copyright © 2005 John Wiley & Sons, Ltd. [source]