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Target-setting problem with exponential utility

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1 Author(s)
R. Krzysztofowicz ; Dept. of Syst. Eng., Virginia Univ., Charlottesville, VA

A classic target-setting problem with a two-piece linear outcome function is extended to include an exponential utility function over outcomes and a normal distribution over uncertain inputs. An expression for the optimal target is derived that facilitates the decision and sensitivity analyses

Published in:

IEEE Transactions on Systems, Man, and Cybernetics  (Volume:20 ,  Issue: 3 )