Bounds on the value of information in uncertain decision problems II

DOI10.1080/17442508308833273zbMath0525.90002OpenAlexW1963702382MaRDI QIDQ3038976

William T. Ziemba, Donald B. Hausch

Publication date: 1983

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508308833273

zbMATH Keywords

value of informationstochastic decision problemscomputation of various boundsexpected value distribution problemsoptimal information gathering planpartial and perfect information

Mathematics Subject Classification ID

Related Items (12)

Bounds in multi-horizon stochastic programs ⋮ Applications of stochastic programming under incomplete information ⋮ SLP-IOR: An interactive model management system for stochastic linear programs ⋮ The representative bettor, bet size, and prospect theory ⋮ Racetrack betting and consensus of subjective probabilities. ⋮ Bounds in multistage linear stochastic programming ⋮ An upper bound for SLP using first and total second moments ⋮ Bounding separable recourse functions with limited distribution information ⋮ Stochastic programs with recourse: An upper bound and the related moment problem ⋮ Monotonic bounds in multistage mixed-integer stochastic programming ⋮ Two-stage stochastic standard quadratic optimization ⋮ An Adaptive Partition-Based Approach for Solving Two-Stage Stochastic Programs with Fixed Recourse

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Approximations to stochastic programs with complete fixed recourse
• Linear Programming under Uncertainty
• Nonlinear Programming Problems with Stochastic Objective Functions
• Dynamic Programming Under Uncertainty with a Quadratic Criterion Function
• A Note on Certainty Equivalence in Dynamic Planning
• Surrogates for Uncertain Decision Problems: Minimal Information for Decision Making
• Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
• Solving stochastic programs with simple recourse
• A note on the “value” of bounds on EVPI in stochastic programming
• Short Term Financial Planning under Uncertainty
• Bounds on the value of information in uncertain decision problems
• Expected Objective Value of a Stochastic Linear Program and the Degree of Uncertainty of Parameters
• A Homogeneous Distribution Problem with Applications to Finance
• Bounds on the Expectation of a Convex Function of a Random Variable: With Applications to Stochastic Programming
• Sharp Bounds on the Value of Perfect Information
• Solving stochastic programming problems with recourse including error bounds
• Capital Accumulation and Production for the Firm: Optimal Dynamic Policies
• On the Probability Distribution of the Optimum of a Random Linear Program
• Information Structures in Stochastic Programming Problems
• On Cash Equivalents and Information Evaluation in Decisions Under Uncertainty: Part I: Basic Theory
• Economic Comparability of Information Systems
• The Efficiency Analysis of Choices Involving Risk
• The Value of Information and Stochastic Programming
• Transforming Stochastic Dynamic Programming Problems into Nonlinear Programs
• Information in two‐stage programming under uncertainty
• Stochastic Programs with Recourse: Random Recourse Costs Only

This page was built for publication: Bounds on the value of information in uncertain decision problems II