Elicitation of a Utility from Uncertainty Equivalent Without Standard Gambles

Abstract : In the context of decision under uncertainty, standard gambles are classically used to elicit a utility function on a set X of consequences. The utility of an element x in X is derived from the probability p for which a gamble giving the best outcome in X with probability p and the worst outcome in X otherwise, is indifferent to getting x for sure. In many situations, uncertainty that can be observed on the true value of X concerns only neighbour values. Uncertainty is then represented by a probability distribution whose support is an interval. In this case, standard gambles are unrealistic for the decision maker. We consider uncertainty represented by an equi-probability over an interval of X. This paper addresses the elicitation of a utility function on X by obtaining the certainty equivalent of an equi-probability over an interval of X. We show that not all utility models are suitable to accomplish this task.
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Christophe Labreuche, Sébastien Destercke, Brice Mayag. Elicitation of a Utility from Uncertainty Equivalent Without Standard Gambles. European Conference on Symbolic and Quantitative Approaches to Reasoning with Uncertainty 2015, Jul 2015, Compiègne, France. pp.25-35, ⟨10.1007/978-3-319-20807-7_3⟩. ⟨hal-01200696⟩

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