Decision making under uncertainty with unknown utility function and rank-ordered probabilities

Vladislav V. Podinovski
Authors registered in the RePEc Author Service: Vladislav Vladimirovich Podinovski

European Journal of Operational Research, 2014, vol. 239, issue 2, 537-541

Abstract: We consider the ranking of decision alternatives in decision analysis problems under uncertainty, under very weak assumptions about the type of utility function and information about the probabilities of the states of nature. Namely, the following two assumptions are required for the suggested method: the utility function is in the class of increasing continuous functions, and the probabilities of the states of nature are rank-ordered. We develop a simple analytical method for the partial ranking of decision alternatives under the stated assumptions. This method does not require solving optimization programs and is free of the rounding errors.

Keywords: Decision analysis under uncertainty; Utility theory; Incomplete information (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:239:y:2014:i:2:p:537-541

DOI: 10.1016/j.ejor.2014.05.023

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