Optimizing sequential decision-making under risk: Strategic allocation with switching penalties
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| Názov: | Optimizing sequential decision-making under risk: Strategic allocation with switching penalties |
|---|---|
| Autori: | Malekipirbazari, Milad, 1985 |
| Zdroj: | European Journal of Operational Research. 321(1):160-176 |
| Predmety: | Multiarmed bandit problem, Switching penalties, Dynamic coherent risk measures, Risk-averse decision-making, Stochastic programming |
| Popis: | This paper considers the multiarmed bandit (MAB) problem augmented with a critical real-world consideration: the cost implications of switching decisions. Our work distinguishes itself by addressing the largely unexplored domain of risk-averse MAB problems compounded by switching penalties. Such scenarios are not just theoretical constructs but are reflective of numerous practical applications. Our contribution is threefold: firstly, we explore how switching costs and risk aversion influence decision-making in MAB problems. Secondly, we present novel theoretical results, including the development of the Risk-Averse Switching Index (RASI), which addresses the dual challenges of risk aversion and switching costs, demonstrating its near-optimal efficacy. This heuristic solution method is grounded in dynamic coherent risk measures, enabling a time-consistent evaluation of risk and reward. Lastly, through rigorous numerical experiments, we validate our algorithm's effectiveness and practical applicability, providing decision-makers with valuable insights and tools for navigating the multifaceted landscape of risk-averse environments with inherent switching costs. |
| Popis súboru: | electronic |
| Prístupová URL adresa: | https://research.chalmers.se/publication/543025 https://research.chalmers.se/publication/543025/file/543025_Fulltext.pdf |
| Databáza: | SwePub |
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