Utility-Based Learning from Data

ISBN-13: 9781584886228 / Angielski / Twarda / 2010 / 417 str.

Craig Friedman;Sven Sandow

Opis

Utility-Based Learning from Data provides a pedagogical, self-contained discussion of probability estimation methods via a coherent approach from the viewpoint of a decision maker who acts in an uncertain environment. This approach is motivated by the idea that probabilistic models are usually not learned for their own sake; rather, they are used to make decisions. Specifically, the authors adopt the point of view of a decision maker who (i) operates in an uncertain environment where the consequences of every possible outcome are explicitly monetized,
(ii) bases his decisions on a probabilistic model, and
(iii) builds and assesses his models accordingly. These assumptions are naturally expressed in the language of utility theory, which is well known from finance and decision theory. By taking this point of view, the book sheds light on and generalizes some popular statistical learning approaches, connecting ideas from information theory, statistics, and finance. It strikes a balance between rigor and intuition, conveying the main ideas to as wide an audience as possible.

Statistical learning, in particular, probabilistic model learning, has become increasingly important in recent years. Probabilistic models, however, are not usually studied for their own sake but for decision-making purposes. Written by authorities in the field, Decision-Theoretic Methods for Learning Probabilistic Models approaches probabilistic models from the point of view of decision makers who operate in uncertain environments, base their decisions on a probabilistic model, and build and assess this model accordingly. This book surveys popular approaches and presents a review of utility theory. It also examines applications to finance, marketing, bioinformatics, and other fields.

Spis treści

Introduction. Mathematical Preliminaries. The Horse Race. Elements of Utility Theory. The Horse Race and Utility. Select Methods for Measuring Model Performance. A Utility-Based Approach to Information Theory. Utility-Based Model Performance Measurement. Select Methods for Estimating Probabilistic Models. A Utility-Based Approach to Probability Estimation. Extensions. Select Applications. References. Index.

O autorze

Craig Friedman is a managing director and head of research in the Quantitative Analytics group at Standard & Poor’s in New York. Dr. Friedman is also a fellow of New York University’s Courant Institute of Mathematical Sciences. He is an associate editor of both the International Journal of Theoretical and Applied Finance and the Journal of Credit Risk.

Sven Sandow is an executive director in risk management at Morgan Stanley in New York. Dr. Sandow is also a fellow of New York University’s Courant Institute of Mathematical Sciences. He holds a Ph.D. in physics and has published articles in scientific journals on various topics in physics, finance, statistics, and machine learning.

The contents of this book are Dr. Sandow’s opinions and do not represent Morgan Stanley.