Non-Uniform Belief in Expected Utilities in Interval Decision Analysis

Aron Larsson, Mid Sweden University; Love Ekenberg, Stockholm University; and Mats Danielson, örebro University

This paper demonstrates that second-order calculations add information about expected utilities when modeling imprecise information in decision models as intervals and employing the principle of maximizing the expected utility. Furthermore, due to the resulting warp in the distribution of belief over the intervals of expected utilities, the conservative Gamma-maximin decision rule seems to be unnecessarily conservative and pessimistic as the belief in neighborhoods of points near interval boundaries is significantly lower than in neighborhoods near the centre. Due to this, a generalized expected utility is proposed.

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