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Elicitation of a utility from uncertainty equivalent without standard gambles. (English) Zbl 1465.91044

Destercke, Sébastien (ed.) et al., Symbolic and quantitative approaches to reasoning with uncertainty. 13th European conference, ECSQARU 2015, Compiègne, France, July 15–17, 2015. Proceedings. Cham: Springer. Lect. Notes Comput. Sci. 9161, 25-35 (2015).
Summary: In the context of decision under uncertainty, standard gambles are classically used to elicit a utility function on a set \(X\) of consequences. The utility of an element \(x\) in \(X\) is derived from the probability \(p\) for which a gamble giving the best outcome in \(X\) with probability \(p\) and the worst outcome in \(X\) otherwise, is indifferent to getting \(x\) for sure. In many situations, uncertainty that can be observed on the true value of \(X\) concerns only neighbour values. Uncertainty is then represented by a probability distribution whose support is an interval. In this case, standard gambles are unrealistic for the decision maker. We consider uncertainty represented by an equi-probability over an interval of \(X\). This paper addresses the elicitation of a utility function on \(X\) by obtaining the certainty equivalent of an equi-probability over an interval of \(X\). We show that not all utility models are suitable to accomplish this task.
For the entire collection see [Zbl 1316.68008].

MSC:

91B06 Decision theory
91B16 Utility theory

Software:

M-MACBETH
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References:

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