| 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. |
