Partial divergence measure of uncertain random variables and its application

被引：13

作者：

Ahmadzade, Hamed ^{[1
]}

Gao, Rong ^{[2
]}

Naderi, Habib ^{[1
]}

Farahikia, Mehran ^{[3
,4
]}

机构：

[1] Univ Sistan & Baluchestan, Dept Math Sci, Zahedan, Iran

[2] Hebei Univ Technol, Sch Econ & Management, Tianjin 300401, Peoples R China

[3] Payame Noor Univ, Dept Stat, Tehran 193954697, Iran

[4] Ayandeh Bank, 1 Ahmad Ghasir Bokharest St,Argentina Sq, Tehran, Argentina

来源：

SOFT COMPUTING | 2020年 / 24卷 / 01期

关键词：

Chance theory; Uncertain random variable; Partial entropy; Partial divergence measure; Portfolio selection; CROSS-ENTROPY; LARGE NUMBERS; MODELS; LAW;

D O I：

10.1007/s00500-019-03929-0

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

Cross-entropy (divergence measure) of two uncertain random variables characterizes the difference of two chance distributions. Sometimes, we occur with a complex system as a mixture of uncertain variables and controllable random variables; in order to characterize the difference in these situations, this paper introduces the concept of partial divergence measure of two uncertain random variables and investigates several properties of this concept. Furthermore, some formulas are derived to calculate the partial divergence measure. And how to use these formulas, several examples are provided. Finally, as an application of partial divergence measure, the concept is used to portfolio selection with uncertain random returns as a mixture of new markets and controllable historical markets.

引用

页码：501 / 512

页数：12

共 25 条

[1]

Ahmadzade H, 2017, IRAN J FUZZY SYST, V14, P1

[2] On the convergence of uncertain random sequences [J].