Geodesic
Optimal risk control under functionally restricted disturbances
Matematičeskaâ teoriâ igr i eë priloženiâ, Tome 5 (2013) no. 1, pp. 74-103

Voir la notice de l'article provenant de la source Math-Net.Ru

We study the optimal risk and how to build the strategy optimal for risk in cases where disturbance is constrained by some unknown functional limitation of a certain family. It is shown that for a class of controlled systems, the problem is solvable in the class of strategies with full memory; the optimal risk coincides with the optimal risk in the class quasi-strategy. The description of the optimal risk and the risk-optimal strategies based on the programmed iterations of the regret functional are provided. Examples of a risk-optimal strategy, cases and conditions of degeneration of the iterative process are given.
Keywords: strategy with full memory, Savage criterion, functionally limited disturbance, quasi-strategy, the method of program iterations. 
@article{MGTA_2013_5_1_a4,
     author = {Dmitry A. Serkov},
     title = {Optimal risk control under functionally restricted disturbances},
     journal = {Matemati\v{c}eska\^a teori\^a igr i e\"e prilo\v{z}eni\^a},
     pages = {74--103},
     publisher = {mathdoc},
     volume = {5},
     number = {1},
     year = {2013},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MGTA_2013_5_1_a4/}
}
TY  - JOUR
AU  - Dmitry A. Serkov
TI  - Optimal risk control under functionally restricted disturbances
JO  - Matematičeskaâ teoriâ igr i eë priloženiâ
PY  - 2013
SP  - 74
EP  - 103
VL  - 5
IS  - 1
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/MGTA_2013_5_1_a4/
LA  - ru
ID  - MGTA_2013_5_1_a4
ER  - 
%0 Journal Article
%A Dmitry A. Serkov
%T Optimal risk control under functionally restricted disturbances
%J Matematičeskaâ teoriâ igr i eë priloženiâ
%D 2013
%P 74-103
%V 5
%N 1
%I mathdoc
%U http://geodesic.mathdoc.fr/item/MGTA_2013_5_1_a4/
%G ru
%F MGTA_2013_5_1_a4
Dmitry A. Serkov. Optimal risk control under functionally restricted disturbances. Matematičeskaâ teoriâ igr i eë priloženiâ, Tome 5 (2013) no. 1, pp. 74-103. http://geodesic.mathdoc.fr/item/MGTA_2013_5_1_a4/