A conjugate class of utility functions for sequential decision problems

Houlding, B.; Coolen, F.P.A.; Bolger, D.

Abstract

The use of the conjugacy property for members of the exponential family of distributions is commonplace within Bayesian statistical analysis, allowing for tractable and simple solutions to problems of inference. However, despite a shared motivation, there has been little previous development of a similar property for using utility functions within a Bayesian decision analysis. As such, this article explores a class of utility functions that appear to be reasonable for modeling the preferences of a decisionmaker in many real-life situations, but that also permit a tractable and simple analysis within sequential decision problems.

Citation

Houlding, B., Coolen, F., & Bolger, D. (2015). A conjugate class of utility functions for sequential decision problems. Risk Analysis, 35(9), 1611-1622. https://doi.org/10.1111/risa.12359

• Journal Article Type: Article
• Acceptance Date: Apr 1, 2015
• Online Publication Date: Apr 7, 2015
• Publication Date: Sep 1, 2015
• Deposit Date: Sep 29, 2015
• Publicly Available Date: Apr 7, 2017
• Journal: Risk Analysis
• Print ISSN: 0272-4332
• Electronic ISSN: 1539-6924
• Publisher: Wiley
• Peer Reviewed: Peer Reviewed
• Volume: 35
• Issue: 9
• Pages: 1611-1622
• DOI: https://doi.org/10.1111/risa.12359
• Keywords: Decision analysis, Matched updating, Normative choice theory, Preference modeling, Risk analysis, Utility theory.
• Public URL: https://durham-repository.worktribe.com/output/1430712