Utility efficiency and its approximation

Summary We assume a multi-attribute decision making problem under uncertainty with partial information on the decision maker's preferences, by a vector utility function with two components and imprecision over their scaling constants. We propose an approximation set whose determination may be easier than the one of the utility efficient set and we consider an interactive procedure which uses such approximation to decision aid. We study some nesting and convergence properties based on the interactive reduction of the approximation set. Finally, we illustrate the procedure with a numerical example.