A computation method in robust Bayesian decision theory

  • Authors:

  • Christophe Abraham

  • Affiliations:

  • UMR Analyses des systèmes et biométrie, Montpellier SupAgro, France

  • Venue:
  • International Journal of Approximate Reasoning
  • Year:
  • 2009

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Abstract

We propose a method for computing the range of the optimal decisions when the utility function runs through a class U. The class U has constraints on the values and the shape of the utility functions. A discretization method enables to easily approximate the optimal decision associated with a particular utility function u@?U. The range of optimal decisions is computed by a Monte Carlo optimization method. An example is provided with numerical results.