A Conjugate Class of Utility Functions for Sequential Decision Problems. Issue 9 (7th April 2015)

• Record Type: Journal Article
• Authors: Houlding, Brett; Coolen, Frank P. A.; Bolger, Donnacha
• Is Part Of: Risk analysis. Volume 35:Issue 9(2015)
• Page Start: 1611
• Page End: 1622
• Publication Date: 2015-04-07
• Subjects: Decision analysis -- matched updating -- normative choice theory -- preference modeling -- risk analysis -- utility theory; Technology -- Risk assessment -- Periodicals; 658.403
• DOI: 10.1111/risa.12359
• Languages: English
• ISSNs: 0272-4332

Abstract

Abstract : The use of the conjugacy property for members of the exponential family of distributions is commonplace within Bayesian statistical analysis, allowing for tractable and simple solutions to problems of inference. However, despite a shared motivation, there has been little previous development of a similar property for using utility functions within a Bayesian decision analysis. As such, this article explores a class of utility functions that appear to be reasonable for modeling the preferences of a decisionmaker in many real‐life situations, but that also permit a tractable and simple analysis within sequential decision problems.