A Kullback-Leibler relatív entrópia függvény alkalmazása páros összehasonlítás mátrix egy prioritásvektora meghatározására (Applying the Kullback-Leibler relative entropy function for determining priorities for the pairwise comparison matrix)

A dolgozatban a döntéselméletben fontos szerepet játszó páros összehasonlítás mátrix prioritásvektorának meghatározására új megközelítést alkalmazunk. Az A páros összehasonlítás mátrix és a prioritásvektor által definiált B konzisztens mátrix közötti eltérést a Kullback-Leibler relatív entrópia-függvény segítségével mérjük. Ezen eltérés minimalizálása teljesen kitöltött mátrix esetében konvex programozási feladathoz vezet, nem teljesen kitöltött mátrix esetében pedig egy fixpont problémához. Az eltérésfüggvényt minimalizáló prioritásvektor egyben azzal a tulajdonsággal is rendelkezik, hogy az A mátrix elemeinek összege és a B mátrix elemeinek összege közötti különbség éppen az eltérésfüggvény minimumának az n-szerese, ahol n a feladat mérete. Így az eltérésfüggvény minimumának értéke két szempontból is lehet alkalmas az A mátrix inkonzisztenciájának a mérésére. _____ In this paper we apply a new approach for determining a priority vector for the pairwise comparison matrix which plays an important role in Decision Theory. The divergence between the pairwise comparison matrix A and the consistent matrix B defined by the priority vector is measured with the help of the Kullback-Leibler relative entropy function. The minimization of this divergence leads to a convex program in case of a complete matrix, leads to a fixed-point problem in case of an incomplete matrix. The priority vector minimizing the divergence also has the property that the difference of the sums of elements of the matrix A and the matrix B is n times the minimum of the divergence function where n is the dimension of the problem. Thus we developed two reasons for considering the value of the minimum of the divergence as a measure of inconsistency of the matrix A.

A simplified implementation of the least squares solution for pairwise comparisons matrices

This is a follow up to "Solution of the least squares method problem of pairwise comparisons matrix" by Bozóki published by this journal in 2008. Familiarity with this paper is essential and assumed. For lower inconsistency and decreased accuracy, our proposed solutions run in seconds instead of days. As such, they may be useful for researchers willing to use the least squares method (LSM) instead of the geometric means (GM) method.

Solution of the Least Squares Method problem of pairwise comparison matrices

The aim of the paper is to present a new global optimization method for determining all the optima of the Least Squares Method (LSM) problem of pairwise comparison matrices. Such matrices are used, e.g., in the Analytic Hierarchy Process (AHP). Unlike some other distance minimizing methods, LSM is usually hard to solve because of the corresponding nonlinear and non-convex objective function. It is found that the optimization problem can be reduced to solve a system of polynomial equations. Homotopy method is applied which is an efficient technique for solving nonlinear systems. The paper ends by two numerical example having multiple global and local minima.

Weighted Sum of Correlated Lognormals: Convolution Integral Solution

Probability density function (pdf) for sum of n correlated lognormal variables is deducted as a special convolution integral. Pdf for weighted sums (where weights can be any real numbers) is also presented. The result for four dimensions was checked by Monte Carlo simulation.

A származtatott termékek árazása és annak problémái az egyensúlyelmélet szempontjából (Pricing of derived products and problems with it in terms of equilibrium theory)

A szerző röviden összefoglalja a származtatott termékek árazásával kapcsolatos legfontosabb ismereteket és problémákat. A derivatív árazás elmélete a piacon levő termékek közötti redundanciát kihasználva próbálja meghatározni az egyes termékek relatív árát. Ezt azonban csak teljes piacon lehet megtenni, és így csak teljes piac esetén lehetséges a hasznossági függvények fogalmát az elméletből és a ráépülő gyakorlatból elhagyni, ezért a kockázatsemleges árazás elve félrevezető. Másképpen fogalmazva: a származtatott termékek elmélete csak azon az áron képes a hasznossági függvény fogalmától megszabadulni, ha a piac szerkezetére a valóságban nem teljesülő megkötéseket tesz. Ennek hangsúlyozása mind a piaci gyakorlatban, mind az oktatásban elengedhetetlen. / === / The author sums up briefly the main aspects and problems to do with the pricing of derived products. The theory of derivative pricing uses the redundancy among products on the market to arrive at relative product prices. But this can be done only on a complete market, so that only with a complete market does it become possible to omit from the theory and the practice built upon it the concept of utility functions, and for that reason the principle of risk-neutral pricing is misleading. To put it another way, the theory of derived products is capable of freeing itself from the concept of utility functions only at a price where in practice it places impossible restrictions on the market structure. This it is essential to emphasize in market practice and in teaching.

On optimal completions of incomplete pairwise comparison matrices

An important variant of a key problem for multi-attribute decision making is considered. We study the extension of the pairwise comparison matrix to the case when only partial information is available: for some pairs no comparison is given. It is natural to define the inconsistency of a partially filled matrix as the inconsistency of its best, completely filled completion. We study here the uniqueness problem of the best completion for two weighting methods, the Eigen-vector Method and the Logarithmic Least Squares Method. In both settings we obtain the same simple graph theoretic characterization of the uniqueness. The optimal completion will be unique if and only if the graph associated with the partially defined matrix is connected. Some numerical experiences are discussed at the end of the paper.

A method for solving LSM problems of small size in the AHP

The Analytic Hierarchy Process (AHP) is one of the most popular methods used in Multi-Attribute Decision Making. It provides with ratio-scale measurements of the prioirities of elements on the various leveles of a hierarchy. These priorities are obtained through the pairwise comparisons of elements on one level with reference to each element on the immediate higher level. The Eigenvector Method (EM) and some distance minimizing methods such as the Least Squares Method (LSM), Logarithmic Least Squares Method (LLSM), Weighted Least Squares Method (WLSM) and Chi Squares Method (X2M) are of the tools for computing the priorities of the alternatives. This paper studies a method for generating all the solutions of the LSM problems for 3 × 3 matrices. We observe non-uniqueness and rank reversals by presenting numerical results.

Solving the Least Squares Method problem in the AHP for 3 X 3 and 4 X 4 matrices

The Analytic Hierarchy Process (AHP) is one of the most popular methods used in Multi-Attribute Decision Making. The Eigenvector Method (EM) and some distance minimizing methods such as the Least Squares Method (LSM) are of the possible tools for computing the priorities of the alternatives. A method for generating all the solutions of the LSM problem for 3 × 3 and 4 × 4 matrices is discussed in the paper. Our algorithms are based on the theory of resultants.

Páros összehasonlításon alapuló pontozási eljárások monotonitása: önkonzisztencia és önkonzisztens monotonitás. Adalékok a pontozási eljárások axiomatikus tárgyalásához = Monotonicity of paired comparison-based ranking methods: self-consistency and self-consistent monotonicity. Contributions to an axiomatic analysis of scoring methods

A cikk a páros összehasonlításokon alapuló pontozási eljárásokat tárgyalja axiomatikus megközelítésben. A szakirodalomban számos értékelő függvényt javasoltak erre a célra, néhány karakterizációs eredmény is ismert. Ennek ellenére a megfelelő módszer kiválasztása nem egy-szerű feladat, a különböző tulajdonságok bevezetése elsősorban ebben nyújthat segítséget. Itt az összehasonlított objektumok teljesítményén érvényesülő monotonitást tárgyaljuk az önkonzisztencia és önkonzisztens monotonitás axiómákból kiindulva. Bemutatásra kerülnek lehetséges gyengítéseik és kiterjesztéseik, illetve egy, az irreleváns összehasonlításoktól való függetlenséggel kapcsolatos lehetetlenségi tétel is. A tulajdonságok teljesülését három eljárásra, a klasszikus pontszám eljárásra, az ezt továbbfejlesztő általánosított sorösszegre és a legkisebb négyzetek módszerére vizsgáljuk meg, melyek mindegyike egy lineáris egyenletrendszer megoldásaként számítható. A kapott eredmények új szempontokkal gazdagítják a pontozási eljárás megválasztásának kérdését. _____ The paper provides an axiomatic analysis of some scoring procedures based on paired comparisons. Several methods have been proposed for these generalized tournaments, some of them have been also characterized by a set of properties. The choice of an appropriate method is supported by a discussion of their theoretical properties. In the paper we focus on the connections of self-consistency and self-consistent-monotonicity, two axioms based on the comparisons of object's performance. The contradiction of self-consistency and independence of irrel-evant matches is revealed, as well as some possible reductions and extensions of these properties. Their satisfiability is examined through three scoring procedures, the score, generalised row sum and least squares methods, each of them is calculated as a solution of a system of linear equations. Our results contribute to the problem of finding a proper paired comparison based scoring method.

Additive and multiplicative properties of scoring methods for preference aggregation

The paper reviews some additive and multiplicative properties of ranking procedures used for generalized tournaments with missing values and multiple comparisons. The methods analysed are the score, generalised row sum and least squares as well as fair bets and its variants. It is argued that generalised row sum should be applied not with a fixed parameter, but a variable one proportional to the number of known comparisons. It is shown that a natural additive property has strong links to independence of irrelevant matches, an axiom judged unfavourable when players have different opponents.

On the additivity of preference aggregation methods

The paper reviews some axioms of additivity concerning ranking methods used for generalized tournaments with possible missing values and multiple comparisons. It is shown that one of the most natural properties, called consistency, has strong links to independence of irrelevant comparisons, an axiom judged unfavourable when players have different opponents. Therefore some directions of weakening consistency are suggested, and several ranking methods, the score, generalized row sum and least squares as well as fair bets and its two variants (one of them entirely new) are analysed whether they satisfy the properties discussed. It turns out that least squares and generalized row sum with an appropriate parameter choice preserve the relative ranking of two objects if the ranking problems added have the same comparison structure.