Decision making under uncertainty using imprecise probabilities

Troffaes, Matthias C.M.

Abstract

Various ways for decision making with imprecise probabilities—admissibility, maximal expected utility, maximality, E-admissibility, Gamma-maximax, Gamma-maximin, all of which are well known from the literature—are discussed and compared. We generalise a well-known sufficient condition for existence of optimal decisions. A simple numerical example shows how these criteria can work in practice, and demonstrates their differences. Finally, we suggest an efficient approach to calculate optimal decisions under these decision criteria.

Citation

Troffaes, M. C. (2007). Decision making under uncertainty using imprecise probabilities. International Journal of Approximate Reasoning: Uncertainty in Intelligent Systems, 45(1), 17-29. https://doi.org/10.1016/j.ijar.2006.06.001

• Journal Article Type: Article
• Publication Date: May 1, 2007
• Deposit Date: Jul 19, 2007
• Publicly Available Date: May 14, 2009
• Journal: International Journal of Approximate Reasoning
• Print ISSN: 0888-613X
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 45
• Issue: 1
• Pages: 17-29
• DOI: https://doi.org/10.1016/j.ijar.2006.06.001
• Keywords: Decision, Optimality, Uncertainty, Probability, Maximality, E-admissibility, Maximin, Lower prevision.
• Public URL: https://durham-repository.worktribe.com/output/1576888