nonparametric perturbation – Optimization Online

A Robust Additive Multiattribute Preference Model using a Nonparametric Shape-Preserving Perturbation

Published: 2014/01/05, Updated: 2014/01/07

Multi-Criteria Optimization, Robust Optimization additive utility function, multiattribute utility theory, multicriteria decision analysis, nonparametric perturbation, utility robustness

This paper develops a multiattribute preference ranking rule in the context of utility robustness. A nonparametric perturbation of a given additive reference utility function is specified to solve the problem of ambiguity and inconsistency in utility assessments, while preserving the additive structure and the decision maker’s risk preference under each criterion. A concept of robust … Read more

Decision Making Based on a Nonparametric Shape-Preserving Perturbation of a Reference Utility Function

Published: 2013/11/25

Jian Hu

Finance and Economics, Robust Optimization, Stochastic Programming expected utility maximization, nonparametric perturbation, portfolio optimization, robust optimization, sensitivity analysis

This paper develops a robust optimization based decision-making framework using a nonparametric perturbation of a reference utility function. The perturbation preserves the risk-aversion property but solves the problem of ambiguity and inconsistency in eliciting the reference utility function. We study the topology of the perturbation, and show that in the decision-making framework the price of … Read more