A conjugate class of utility functions for sequential decision problems

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

doi:10.1111/risa.12359

A conjugate class of utility functions for sequential decision problems

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

Authors

B. Houlding

Professor Frank Coolen frank.coolen@durham.ac.uk
Professor

D. Bolger

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.

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Copyright Statement
This is the accepted version of the following article: Houlding, B., Coolen, F. P. A. and Bolger, D. (2015), A Conjugate Class of Utility Functions for Sequential Decision Problems. Risk Analysis, 35(9): 1611-1622, which has been published in final form at http://dx.doi.org/10.1111/risa.12359. This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.