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ALDT
2009
Springer

Optimizing the Hurwicz Criterion in Decision Trees with Imprecise Probabilities

13 years 10 months ago
Optimizing the Hurwicz Criterion in Decision Trees with Imprecise Probabilities
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. Key words: Sequential decision making; Imprecise probabilities; Hurwicz’s criterion; Computational complexity; Exact algorithms
Gildas Jeantet, Olivier Spanjaard
Added 25 May 2010
Updated 25 May 2010
Type Conference
Year 2009
Where ALDT
Authors Gildas Jeantet, Olivier Spanjaard
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