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Decision making under uncertainty using imprecise probabilities

Troffaes, Matthias C.M.

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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.

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