Exponential entropy of uncertain sets and its applications to learning curve and portfolio optimization
Year: 2024
Type: article
Abstract: Exponential entropy is a concept in information theory that describes the amount of uncertainty or disorder in a system. It is based on the idea that as the number of possible states or configurations of a system increases exponentially, the entropy also increases exponentially. This means that as the complexity of a system grows, the amount of uncertainty about its state also grows rapidly. Exponential entropy is a key factor in understanding the behavior of complex systems and can help us predict how they will evolve over time. A formula has been derived for calculating the exponential entropy of uncertain sets through the inversion of membership functions. Additionally, by treating exponential entropy as a risk measure, we optimize portfolio selection problems using mean-entropy models.
DOI: 10.3934/jimo.2024134
Authors: Chongguo Wang, Gang Shi, Yuhong Sheng, Hamed Ahmadzade
Institutions: Xinjiang University, University of Sistan and Baluchestan
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W4402989556