Integrating Uncertainties in a Multi-Criteria Decision Analysis with the Entscheidungsnavi

Sven Peters, Mendy Tönsfeuerborn () and Rüdiger von Nitzsch
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Sven Peters: Decision Theory and Financial Services Group, RWTH Aachen University, Templergraben 64, 52062 Aachen, Germany
Mendy Tönsfeuerborn: Decision Theory and Financial Services Group, RWTH Aachen University, Templergraben 64, 52062 Aachen, Germany
Rüdiger von Nitzsch: Decision Theory and Financial Services Group, RWTH Aachen University, Templergraben 64, 52062 Aachen, Germany

Mathematics, 2024, vol. 12, issue 11, 1-28

Abstract: The Entscheidungsnavi is an open-source decision support system based on multi-attribute utility theory, that offers various methods for dealing with uncertainties. To model decisions with uncertainties, decision-makers can use two categories: Forecast and Parameter Uncertainties. Forecast Uncertainty is modeled with (combined) influence factors using discrete, user-defined probability distributions or predefined ‘worst-median-best’ distributions. Parameter Uncertainty allows imprecision for utilities, objective weights, and probability distributions. To analyze these uncertainties, the Entscheidungsnavi offers several methods and tools, like a robustness check, based on (Monte Carlo) simulations and a sensitivity analysis. The objective weight analysis provides insights into the effects of different objective weight combinations. Indicator impacts, tornado diagrams, and risk profiles visualize the impact of uncertainties in a decision under risk. Risk profiles also enable a check for stochastic and simulation dominance. This article presents the complete range of methods for dealing with uncertainties in the Entscheidungsnavi using a hypothetical case study.

Keywords: multi-criteria decision-making; uncertainty; decision support system; value-focused thinking; multi-attribute utility theory (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2024
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