Seminar "Expert opinion and data analysis"
On Wednesday, April 10, the National Research University Higher School of Economics hosted a seminar "Expert opinion and data analysis".
Theme: Long-term optimization and risk assessment for linear stochastic systems with multidirectional time preferences
Annotation:
An analysis of a linear stochastic control system in the long term is carried out. It is assumed that the quadratic objective functional contains mutually inverse factors that depend on time. This specificity reflects the multidirectional time preferences of subjects in assessing different types of losses. The type of control law that is optimal according to criteria generalizing long-term averages is found. Conditions are given under which an alternative optimal strategy exists, determined based on the solution of the algebraic Riccati equation. The problem of coordinating the interests of two subjects in a single target functionality is also discussed.
Date
11 April