A Generalized Maximum Entropy Principle

We describe a generalized maximum entropy principle for dealing with decision problems involving uncertainty but with some prior knowledge about the probability space corresponding to nature. This knowledge is expressed through known bounds on event probabilities and moments, which can be incorporat...

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Bibliographic Details
Published in:Operations research 1979-11, Vol.27 (6), p.1188-1196
Main Author: Thomas, Marlin U.
Format: Article
Language:English
Subjects:
Abatement
Applications
Decision analysis
Decision making
Entropy
Environmental disorders
Equipment purchasing
Mathematical moments
Nonlinear programming
Oil pollution
Oil spills
Optimal
Probabilities
Random variables
State of nature
Systems
Technical Notes
Uncertainty
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Summary:We describe a generalized maximum entropy principle for dealing with decision problems involving uncertainty but with some prior knowledge about the probability space corresponding to nature. This knowledge is expressed through known bounds on event probabilities and moments, which can be incorporated into a nonlinear programming problem. The solution provides a maximum entropy distribution that is then used in treating the decision problem as one involving risk. We describe an example application that involves the selection of oil spill recovery systems for inland harbor regions.
ISSN:0030-364X
1526-5463
DOI:10.1287/opre.27.6.1188