Decision Analysis by Augmented Probability Simulation

Concha Bielza, Peter Müller and David Ríos Insua
Additional contact information
Concha Bielza: Decision Analysis Group, Madrid Technical University, Spain
Peter Müller: Institute of Statistics and Decision Sciences, Duke University, Durham, North Carolina 27706
David Ríos Insua: School of Engineering, Universidad Rey Juan Carlos, Spain

Management Science, 1999, vol. 45, issue 7, 995-1007

Abstract: We provide a generic Monte Carlo method to find the alternative of maximum expected utility in a decision analysis. We define an artificial distribution on the product space of alternatives and states, and show that the optimal alternative is the mode of the implied marginal distribution on the alternatives. After drawing a sample from the artificial distribution, we may use exploratory data analysis tools to approximately identify the optimal alternative. We illustrate our method for some important types of influence diagrams.

Keywords: decision analysis; influence diagrams; Markov chain Monte Carlo; optimal design; simulation (search for similar items in EconPapers)
Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.45.7.995 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:45:y:1999:i:7:p:995-1007

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().