Diversifying the Risk Associated with Exploration

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.

Bibliographic Details
Main Authors: Sjur D. Flåm, Sverre Storøy
Format: Article
Language:English
Published: Norwegian Society of Automatic Control 1986-04-01
Series:Modeling, Identification and Control
Subjects:
Stochastic models
entalpic pentalty
Online Access:http://www.mic-journal.no/PDF/1986/MIC-1986-2-3.pdf
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spelling doaj-d8f6ea40a1bb4272921b8ffb275f601b2020-11-25T00:08:08ZengNorwegian Society of Automatic ControlModeling, Identification and Control0332-73531890-13281986-04-0172839210.4173/mic.1986.2.3Diversifying the Risk Associated with ExplorationSjur D. FlåmSverre StorøyThis 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. http://www.mic-journal.no/PDF/1986/MIC-1986-2-3.pdfStochastic modelsentalpic pentalty
collection DOAJ
language English
format Article
sources DOAJ
author Sjur D. Flåm
Sverre Storøy
spellingShingle Sjur D. Flåm
Sverre Storøy
Diversifying the Risk Associated with Exploration
Modeling, Identification and Control
Stochastic models
entalpic pentalty
author_facet Sjur D. Flåm
Sverre Storøy
author_sort Sjur D. Flåm
title Diversifying the Risk Associated with Exploration
title_short Diversifying the Risk Associated with Exploration
title_full Diversifying the Risk Associated with Exploration
title_fullStr Diversifying the Risk Associated with Exploration
title_full_unstemmed Diversifying the Risk Associated with Exploration
title_sort diversifying the risk associated with exploration
publisher Norwegian Society of Automatic Control
series Modeling, Identification and Control
issn 0332-7353
1890-1328
publishDate 1986-04-01
description 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.
topic Stochastic models
entalpic pentalty
url http://www.mic-journal.no/PDF/1986/MIC-1986-2-3.pdf
work_keys_str_mv AT sjurdflam diversifyingtheriskassociatedwithexploration
AT sverrestorøy diversifyingtheriskassociatedwithexploration
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