Utility-based learning from data. (©2011)

• Record Type: Book
• Further Information: Note: Craig Friedman, Sven Sandow.
• Other Names: Friedman, Craig; Sandow, Sven
• Contents: Introduction; Notions from Utility Theory; Model Performance Measurement; Model Estimation; The Viewpoint of This Book; Organization of This Book; Examples Mathematical Preliminaries ; Some Probabilistic Concepts; Convex Optimization; Entropy and Relative Entropy The Horse Race; The Basic Idea of an Investor in a Horse Race; The Expected Wealth Growth Rate; The Kelly Investor; Entropy and Wealth Growth Rate; The Conditional Horse Race Elements of Utility Theory ; Beginnings: The St. Petersburg Paradox; Axiomatic Approach; Risk Aversion; Some Popular Utility Functions; Field Studies; Our Assumptions The Horse Race and Utility; The Discrete Unconditional Horse Races; Discrete Conditional Horse Races; Continuous Unconditional Horse Races; Continuous Conditional Horse Races Select Methods for Measuring Model Performance; Rank-Based Methods for Two-State Models; Likelihood; Performance Measurement via Loss Function A Utility-Based Approach to Information Theory ; Interpreting Entropy and Relative Entropy in the Discrete Horse Race Context; (U, O )-Entropy and Relative (U, O )-Entropy for Discrete Unconditional Probabilities; Conditional (U, O )-Entropy and Conditional Relative (U, O )-Entropy for Discrete Probabilities; U -Entropy for Discrete Unconditional Probabilities Utility-Based Model Performance Measurement ; Utility-Based Performance Measures for Discrete Probability Models; Revisiting the Likelihood Ratio Utility-Based Performance Measures for Discrete Conditional Probability Models; Utility-Based Performance Measures for Probability Density Models; Utility-Based Performance Measures for Conditional Probability Density Models; Monetary Value of a Model Upgrade; Some Proofs Select Methods for Estimating Probabilistic Models ; Classical Parametric Methods; Regularized Maximum Likelihood Inference; Bayesian Inference; Minimum Relative Entropy (MRE) Methods A Utility-Based Approach to Probability Estimation ; Discrete Probability Models; Conditional Density Models; Probability Estimation via Relative U -Entropy Minimization; Expressing the Data Constraints in Purely Economic Terms; Some Proofs Extensions; Model Performance Measures and MRE for Leveraged Investors; Model Performance Measures and MRE for Investors in Incomplete Markets; Utility-Based Performance Measures for Regression Models Select Applications; Three Credit Risk Models; The Gail Breast Cancer Model; A Text Classification Model References Index Exercises appear at the end of most chapters.
• Publisher Details: Boca Raton, FL : CRC Press
• Publication Date: 2011
• Copyright Date: 2011
• Extent: 1 online resource (xix, 397 pages), illustrations
• Subjects: 006.3/1; Machine learning; COMPUTERS -- Enterprise Applications -- Business Intelligence Tools; COMPUTERS -- Intelligence (AI) & Semantics; Machine learning
• Languages: English
• ISBNs: 9781420011289; 1420011286
• Related ISBNs: 9781584886228; 1584886226
• Notes: Note: Includes bibliographical references and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.