Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/156043
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dc.titleRISK-AWARE PREFERENCE ELICITATION, ESTIMATION AND OPTIMIZATION
dc.contributor.authorHUANG WENJIE
dc.date.accessioned2019-07-01T18:03:07Z
dc.date.available2019-07-01T18:03:07Z
dc.date.issued2019-01-25
dc.identifier.citationHUANG WENJIE (2019-01-25). RISK-AWARE PREFERENCE ELICITATION, ESTIMATION AND OPTIMIZATION. ScholarBank@NUS Repository.
dc.identifier.urihttps://scholarbank.nus.edu.sg/handle/10635/156043
dc.description.abstractThis thesis investigates realistic models for human risk preferences in decision-making under uncertainty, derives computationally tractable schemes, and develops theoretical analytic for the models and algorithms. In this thesis, we investigate three themes dealing with risk preferences. In this thesis, we successfully derive the decision theoretical and mathematical foundation of preference elicitation for quasi-concave choice functions (the widest class of choice functions representing diversification favoring behavior) on multi-attribute prospect space. Second, we propose a new class of risk measures that can be estimated accurately and efficiently by stochastic approximation technique and shows that many widely investigated risk measures follow its general mathematical representation. Finally, we propose powerful risk preference elicitation and estimation framework, and thus finally implement them in many classical and unified models in decision making under uncertainty, including expected utility theory, convex risk measures, satisficing and aspirational preference theory, Markov decision processes and stochastic games.
dc.language.isoen
dc.subjectDecision Making under Uncertainty, Risk Measure, Preference Elicitation, Markov Decision Processes, Stochastic Games, Reinforcement Learning
dc.typeThesis
dc.contributor.departmentINDUSTRIAL SYSTEMS ENGINEERING & MGT
dc.contributor.supervisorHASKELL, WILLIAM BENJAMIN
dc.description.degreePh.D
dc.description.degreeconferredDOCTOR OF PHILOSOPHY
Appears in Collections:Ph.D Theses (Open)

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