Decision making in a dynamic environment

DOI10.1016/0377-2217(86)90119-0MaRDI QIDQ1073713zbMATH OpenOpenAlexFDO

Authors Marc Moeneclaey

Publication date 1986

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-2217(86)90119-0

zbMATH Keywords

adaptive joint maximum-likelihood strategyperformancestochastic gradient algorithmtime seriesunwanted dynamic parameter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Management decision making, including multiple objectives (90B50) Applications of mathematical programming (90C90)

Review text

We consider the decision problem affected by an unwanted dynamic parameter. We show that this problem can be solved by an adaptive joint maximum-likelihood strategy, which makes use of a stochastic gradient algorithm. We point out that the bandwidth of the stochastic gradient algorithm is an important design parameter, which greatly influences the decision error probability.

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Cited in

(6)

• Decision making dynamics in corporate boards
• Optimal dynamic recognition and decision-making
• Tuning positive feedback for signal detection in noisy dynamic environments
• Dynamic parameters in sequential decision making
• Decision Making with Dynamic Uncertain Events
• Problem Solving in a Dynamic Environment

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