Decision making under uncertainty using imprecise probabilities

Various ways for decision making with imprecise probabilities—admissibility, maximal expected utility, maximality, E-admissibility, Γ-maximax, Γ-maximin, all of which are well-known from the literature—are discussed and compared. We generalize 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. Key words: decision, optimality, uncertainty, probability, maximality, E-admissibility, maximin, lower prevision

• Type: Journal
• Year: 2007
• Where: IJAR
• Authors: Matthias C. M. Troffaes
• Keywords: IJAR 2007, Imprecise Probabilities—admissibility, Optimal Decisions, Well-known Sufficient Condition