On the Rationality of Some Decision Rules in a Stochastic Environment

Guy Cohen, Pierre Bernhard

Research output: Contribution to journalArticlepeer-review

Abstract

A classical decision rule consists of finding the decision which minimizes the expected cost. Liberty and Hartwig [1] proposed another decision rule which consists of minimising a combination of the expectation and the variance of the cost in order to reduce the probability of bad realizations. We show that this decision rule does not meet a “minimal rationality requirement” in general. We relate it to another one and exhibit special cases when it does so.

Original languageEnglish
Pages (from-to)793-794
Number of pages2
JournalIEEE Transactions on Automatic Control
Volume24
Issue number5
DOIs
StatePublished - 1 Jan 1979
Externally publishedYes

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