Constructing and Applying Objective Functions pp 215-232 | Cite as

# Constructing Utility Functions by Methods of Nondifferentiable Optimization

Conference paper

## Abstract

Methods of nonsmooth optimization, particularly the *r*-algorithm, are applied to the problem of fitting an empirical utility function to expert’s estimates of ordinal utility under certain a priori constraints. Due to these methods, the fit can be performed not only with respect to the least squares criterion but with respect to the least moduli criterion, and with respect to the minimax (Chebyshev) criterion as well. Besides, nonsmooth constraints, providing the convexity or concavity of the utility function, are manageable.

## Key words

Objective function utility function subgradient method r-algorithm## Preview

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