Diversifying the Risk Associated with Exploration
This paper is concerned with the allocation of exploratory efforts under the limitation of a fixed budget. A chance constrained problem is formulated. To solve this problem an algorithm is developed which is based on the entropic penalty approach recently presented by Ben-Tal.
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Norwegian Society of Automatic Control
1986-04-01
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| Series: | Modeling, Identification and Control |
| Subjects: | |
| Online Access: | http://www.mic-journal.no/PDF/1986/MIC-1986-2-3.pdf |
| Summary: | This paper is concerned with the allocation of exploratory efforts under the limitation of a fixed budget. A chance constrained problem is formulated. To solve this problem an algorithm is developed which is based on the entropic penalty approach recently presented by Ben-Tal. |
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| ISSN: | 0332-7353 1890-1328 |