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Constructing Utility Functions by Methods of Nondifferentiable Optimization

  • Naum Z. Shor
  • Petro I. Stetsyuk
Conference paper
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 510)

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 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • Naum Z. Shor
    • 1
  • Petro I. Stetsyuk
    • 1
  1. 1.V.M. Glushkov Institute of Cybernetics of NASU AcadKyivUkraine

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