Optimizing the Hurwicz Criterion in Decision Trees with Imprecise Probabilities

Authors:
Gildas Jeantet;Olivier Spanjaard
Affiliations:
LIP6 - UPMC, Paris, France 75016;LIP6 - UPMC, Paris, France 75016
Venue:
ADT '09 Proceedings of the 1st International Conference on Algorithmic Decision Theory
Year:
2009

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Abstract

This paper is devoted to sequential decision problems with imprecise probabilities. We study the problem of determining an optimal strategy according to the Hurwicz criterion in decision trees. More precisely, we investigate this problem from the computational viewpoint. When the decision tree is separable (to be defined in the paper), we provide an operational approach to compute an optimal strategy, based on a bicriteria dynamic programming procedure. The results of numerical tests are presented. When the decision tree is non-separable , we prove the NP-hardness of the problem.