Decision Making Under Interval Uncertainty: Beyond Hurwicz Pessimism-Optimism Criterion

Authors

Tran Anh Tuan, Ho Chi Minh City Institute of Development StudiesFollow
Vladik Kreinovich, The University of Texas at El PasoFollow
Thach N. Nguyen, Banking University of Ho Chi Minh CityFollow

Publication Date

8-2018

Comments

Technical Report: UTEP-CS-18-62

Tuan T.A., Kreinovich V., Nguyen T.N. (2019) Decision Making Under Interval Uncertainty: Beyond Hurwicz Pessimism-Optimism Criterion. In: Kreinovich V., Thach N., Trung N., Van Thanh D. (eds) Beyond Traditional Probabilistic Methods in Economics. ECONVN 2019. Studies in Computational Intelligence, vol 809. Springer, Cham
https://doi.org/10.1007/978-3-030-04200-4_14

Abstract

In many practical situations, we do not know the exact value of the quantities characterizing the consequences of different possible actions. Instead, we often only known lower and upper bounds on these values, i.e., we only know intervals containing these values. To make decisions under such interval uncertainty, the Nobelist Leo Hurwicz proposed his optimism-pessimism criterion. It is known, however, that this criterion is not perfect: there are examples of actions which this criterion considers to be equivalent but which for which common sense indicates that one of them is preferable. These examples mean that Hurwicz criterion must be extended, to enable us to select between alternatives that this criterion classifies as equivalent. In this paper, we provide a full description of all such extensions.