In this note, we compare two approaches for handling risk-variability features arising in discrete-time Markov decision processes: models with exponential utility functions and mean variance optimality models. Computational approaches for finding optimal decision with respect to the optimality criteria mentioned above are presented and analytical results showing connections between the above op...

When dealing with many-criteria decision making and many-objectives optimization problems the concepts of Pareto optimality and Pareto-dominance are inefficient in modelling and simulating human decision making. Different fuzzy-based definitions of optimality and dominated solution are introduced and tested on analytical test cases in order to show their validity and closeness to human decision...

Abstract We consider d-order Markov chains satisfying a conditional constraint E(aθ(Xi−1, Xi) | Xi−1) = 0, where Xi−1 = (Xi−1, . . . , Xi−d). These comprise quasi-likelihood models and nonlinear and conditionally heteroscedastic autoregressive models with martingale innovations. Estimators for θ can be obtained from estimating equations ∑n i=1Wθ(Xi−1) aθ(Xi−1, Xi) = 0. We review different crite...