utility function

Robust Decision Making using a General Utility Set

  • Manish Bansal
  • Jian Hu
  • Sanjay Mehrotra
    • Categories Finance and Economics, Robust Optimization, Stochastic Programming Tags , , ,

    We develop the concept of utility robustness to address the problem of ambiguity and inconsistency in utility assessments. A robust decision-making framework is built on a utility set which characterizes a decision maker’s risk attitude described by boundary and auxiliary conditions. This framework is studied using the Sample Average Approximation (SAA) approach. We show the … Read more

    Robust Decision Making using a Risk-Averse Utility Set

  • Jian Hu
  • Sanjay Mehrotra
    • Categories Applications - OR and Management Sciences, Finance and Economics, Robust Optimization Tags , , , ,

    Eliciting the utility of a decision maker is difficult. In this paper, we develop a flexible decision making framework, which uses the concept of utility robustness to address the problem of ambiguity and inconsistency in utility assessments. The ideas are developed by giving a probabilistic interpretation to utility and marginal utility functions. Boundary and additional … Read more