NDLI: Learning to Anticipate Flexible Choices in Multiple Criteria Decision-Making Under Uncertainty

Content Provider	IEEE Xplore Digital Library
Author	Azevedo, C.R.B. Von Zuben, F.
Copyright Year	2013
Abstract	In several applications, a solution must be selected from a set of tradeoff alternatives for operating in dynamic and noisy environments. In this paper, such multicriteria decision process is handled by anticipating flexible options predicted to improve the decision maker future freedom of action. A methodology is then proposed for predicting tradeoff sets of maximal hypervolume, where a multiobjective metaheuristic was augmented with a Kalman filter and a dynamical Dirichlet model for tracking and predicting flexible solutions. The method identified decisions that were shown to improve the future hypervolume of tradeoff investment portfolio sets for out-of-sample stock data, when compared to a myopic strategy. Anticipating flexible portfolios was a superior strategy for smoother changing artificial and real-world scenarios, when compared to always implementing the decision of median risk and to randomly selecting a portfolio from the evolved anticipatory stochastic Pareto frontier, whereas the median choice strategy performed better for abruptly changing markets. Correlations between the portfolio compositions and future hypervolume were also observed.
Page Count	14
File Size	1612750
Starting Page	778
Ending Page	791
File Format	PDF
ISSN	21682267
Volume Number	46
Issue Number	3
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2016-01-01
Publisher Place	U.S.A.
Access Restriction	One Nation One Subscription (ONOS)
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Vectors Portfolios Zinc Uncertainty Decision making Stochastic processes Approximation methods multiobjective optimization (MOO) Anticipatory learning Bayesian tracking hypervolume-based decision making
Content Type	Text
Resource Type	Article
Subject	Control and Systems Engineering Information Systems Electrical and Electronic Engineering Human-Computer Interaction Computer Science Applications Software

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3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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