Utility-Based Learning from Data
暫譯: 基於效用的數據學習

Friedman, Craig, Sandow, Sven

Utility-Based Learning from Data

相關主題

商品描述

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.

 

 

商品描述(中文翻譯)

《基於效用的數據學習》提供了一個自成體系的教學討論，探討概率估計方法，從在不確定環境中行動的決策者的觀點出發。這種方法的動機在於，概率模型通常不是為了自身而學習；相反，它們是用來做出決策的。具體而言，作者採取了以下決策者的觀點：

(i) 在一個不確定的環境中運作，其中每個可能結果的後果都明確地以貨幣化的方式表達，
(ii) 根據概率模型做出決策，並
(iii) 相應地構建和評估他的模型。

這些假設自然地用效用理論的語言表達，這在金融和決策理論中是眾所周知的。通過採取這種觀點，本書闡明並概括了一些流行的統計學習方法，將信息理論、統計學和金融的思想聯繫起來。它在嚴謹性和直觀性之間取得了平衡，將主要思想傳達給盡可能廣泛的讀者。

作者簡介

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.

 

 

作者簡介(中文翻譯)

克雷格·弗里德曼是標準普爾（Standard & Poor's）在紐約的量化分析組的董事總經理及研究主管。弗里德曼博士同時也是紐約大學庫朗數學科學研究所的研究員。他是《國際理論與應用金融期刊》（International Journal of Theoretical and Applied Finance）和《信用風險期刊》（Journal of Credit Risk）的副編輯。

斯文·桑道（Sven Sandow）是摩根士丹利（Morgan Stanley）在紐約的風險管理執行董事。桑道博士同樣是紐約大學庫朗數學科學研究所的研究員。他擁有物理學博士學位，並在科學期刊上發表過有關物理、金融、統計和機器學習等各種主題的文章。

本書內容為桑道博士的個人意見，並不代表摩根士丹利的立場。

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