piecewise linear random utility function

Data-Driven Distributionally Preference Robust Optimization Models Based on Random Utility Representation in Multi-Attribute Decision Making

  • Jian Hu
  • Huifu Xu
  • Dali Zhang
    • Categories Robust Optimization, Stochastic Programming Tags , , ,

    Preference robust optimization (PRO) has recently been studied to deal with utility based decision making problems under ambiguity in the characterization of the decision maker’s (DM) preference. In this paper, we propose a novel PRO modeling paradigm which combines the stochastic utility theory with distributionally robust optimization technique. Based on the stochastic utility theory, our … Read more