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Optimizing the Hurwicz criterion in decision trees with imprecise probabilities

Gildas Jeantet 1 Olivier Spanjaard 1
1 DECISION
LIP6 - Laboratoire d'Informatique de Paris 6
Abstract : 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.
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Gildas Jeantet, Olivier Spanjaard. Optimizing the Hurwicz criterion in decision trees with imprecise probabilities. 1st International Conference on Algorithmic Decision Theory (ADT 2009), Oct 2009, Venise, Italy. pp.340-352, ⟨10.1007/978-3-642-04428-1_30⟩. ⟨hal-01296561⟩

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