Decision making under uncertainty using imprecise probabilities

Authors:
Matthias C. M. Troffaes
Affiliations:
Carnegie Mellon University, Department of Philosophy, 5000 Forbes Avenue, Baker Hall 135, Pittsburgh, PA 15213, USA
Venue:
International Journal of Approximate Reasoning
Year:
2007

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Abstract

Various ways for decision making with imprecise probabilities-admissibility, maximal expected utility, maximality, E-admissibility, @C-maximax, @C-maximin, all of which are well known from the literature-are discussed and compared. We generalise a well-known sufficient condition for existence of optimal decisions. A simple numerical example shows how these criteria can work in practice, and demonstrates their differences. Finally, we suggest an efficient approach to calculate optimal decisions under these decision criteria.