Deciding an optimal action in consideration of risk

摘要

A method and system for deciding an optimal action in consideration of risk. The method includes the steps of: generating sequentially, by way of a Markov decision process based on a Monte Carlo method, a series of data having states on a memory of a computer; computing a risk measure of a present data by tracking generated data from opposite order to generation order, where the risk measure is calculated from a value at risk or an exceedance probability that is derived from risk measures of a plurality of states transitionable from a state of the present data; and executing the step of computing the risk measure while tracking back to starting data, where at least one of the steps is carried out using a computer device.

主权项

1. A method for computing an iterated risk measure, the method comprising the steps of:
generating sequentially, by way of a Markov decision process based on a Monte Carlo method, a series of data objects having states on a memory of a computer; computing a risk measure of a data object by tracking generated data from opposite order to generation order, wherein said risk measure is calculated from a value at risk or an exceedance probability that is derived from risk measures of a plurality of states transitionable from a state of said data object, the computing the risk measure including: solving a mathematical equation,VaRα⁢%⁡[X]=infx∈R⁢{∑i⁢:⁢υi>x⁢pi≤1-α100} wherein: X is a random variable; vi (i=1, . . . , n) is a value of each of said plurality of states transitionable from said state of said data object and pi (i=1, . . . , n) is a transition probability of each of said plurality of states transitionable from said state of said data object; and executing said step of computing said risk measure while tracking back to starting data, wherein at least one of the steps is carried out using a computer device.