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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Acknowledgments
This work has been partly supported by the European project FP7-SEC-2013-607697, PREDICT “PREparing the Domino effect In crisis siTuations”. The authors would like to thank an anonymous review for helpful comments.
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Labreuche, C., Destercke, S., Mayag, B. (2015). Elicitation of a Utility from Uncertainty Equivalent Without Standard Gambles. In: Destercke, S., Denoeux, T. (eds) Symbolic and Quantitative Approaches to Reasoning with Uncertainty. ECSQARU 2015. Lecture Notes in Computer Science(), vol 9161. Springer, Cham. https://doi.org/10.1007/978-3-319-20807-7_3
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