Models of Decision Theory

Zkratka předmětu KMI/YMDT
Název předmětu Models of Decision Theory
Akademický rok 2018/2019
Pracoviště / Zkratka KMI/YMDT
Název Models of Decision Theory
Akreditováno/Kredity Ano/5
Rozsah hodin Přednáška 2 HOD/TYD Cvičení 2 HOD/TYD
Vyučovací jazyk angličtina
Nahrazovaný předmět KMI/MDT
Vyloučené předměty KMI/KRM1, KMI/RM, KMI/RM1
Podmiňující
Způsob zakončení Zkouška
Forma zakončení Kombinovaná
Zápočet před zkouškou Ano
Vyučovaný semestr ZimníLetní
Cíle předmětu (anotace)

The course provides a first introduction into decision theory. After the basic notions of the subject have been explained, the main attention will be paid to the methods for solving problems with one or more decision criteria and/or resolving conflicting situations in the paradigms of game theory. Some specific items to be discussed: Optimization techniques and rules for decision problems with one decision criterion, e.g., mean-value, maxmin, Laplace, Savage rules, etc. Decision trees.
Problems of Portfolio optimization. Basic notions of game theory; strategies, zero-sum games, etc. Pure and mixed strategies, linear programming methods. Nash equilibrium, cooperative and non-cooperative games.

Požadavky na studenta

Requirements for credit: active participation in lessons, duly submission of 2 seminar works and at least 40 percent of points from tests. Two tests during a semester. (There is only one chance to retake the test.)

Written and oral exam. It is necessary to have at least 50 percent of points from the exam test to pass the written part. The written part can be forgiven in case of the result from credit tests better than 65 percent of points. To pass the oral part it is necessary to answer at least one of three questions.

Obsah

1. Utility Theory.
2. Monetary Utility Function. Estimation of utility function parameters.
3. Introduction into Decision Theory.
4. Decision under risk and uncertainty.
5. Markowitz' model of portfolio optimization.
6. Scenario approach to portfolio optimization.
7. Bayes' formula.
8. Prior and posterior probabilities. Value of experimetation and value of perfect information.
9. Decision trees.
10. Introduction into Game Theory.
11. Antagonistic conflict, graphical solution, solving by LP method.
12. Two-person nonconstant-sum games.
13. Oligopolies.
14 . Simulation.


Předpoklady - další informace k podmíněnosti studia předmětu

The course has no prerequisities.

Získané způsobilosti

The students will acquire basic understanding of the fundamentals of decision processes and game theory, including the underlying mathematical tools and software.

Garanti a vyučující
  • Garanti: doc. RNDr. Jana Klicnarová, Ph.D.
  • Přednášející: doc. RNDr. Jana Klicnarová, Ph.D.
  • Cvičící: doc. RNDr. Jana Klicnarová, Ph.D.
Literatura
  • Hillier, Liebermann. Introduction to Operation Research. New York, 2010. ISBN 978-007-132483-0.
  • Hansson. S. O. Decision Theory: A Brief Introduction.
  • K. Binmore. Fun and Games - A Text on Game Theory. D.C. Heath, Lexington, Mass, 1992.
  • T. Ferguson. Game Theory, course notes.
  • R. Clemen. Making Hard Decisions: An Introduction to Decision Analysis. 2nd edition. Belmont CA: Duxbury Press, 1996.
  • S. Karlin. Mathematical Methods and Theory in Games, Programming and Economics, in two vols. Dover Publications Inc., New York, 1992.
  • M. De Groot. Optimal Statistical Decisions. Wiley Classics Library (Originally published 1970.), 2004.
  • Ariely. Predictably Irrational: The Hidden Forces That Shape Our Decisions. Harper-Collins, 2008.
  • J. von Neumann and O. Morgenstern. Theory of Games and Economic Behavior. Princeton, NJ. Princeton University Press., 1944.
Vyučovací metody

Monologická (výklad, přednáška, instruktáž), Dialogická (diskuze, rozhovor, brainstorming)

Hodnotící metody

Kombinovaná zkouška

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