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2.3. Methodology of OR
Authors:Chelsea C. White  Shigeru Dozono
Affiliation:Department of Industrial Engineering, University College, Galway, Ireland
Abstract:We present and analyze a generalization of the standard decision analysis model of sequential decisionmaking under risk. The decision tree is assumed given and all probabilities are assumed to be known precisely. Utility values are assumed to be affine in an imprecisely known parameter. The affine form is sufficiently general to allow importance weights or the utility values themselves to be represented by the imprecise parameter. Parameter imprecision is described by set inclusion. A relation on all available alternatives is assumed given for each decision node. The intent of each (not necessarily complete) relation is to model the decisionmaker's directly expressed preferences among the available alternatives at the associated decision node. A numerical procedure is developed to determine the set of all strategies that may be optimal and the corresponding set of all possible parameter values. An example illustrates the procedure.
Keywords:Decision theory  dynamic programming
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