Preference ambiguity and robustness in multistage decision making

In this paper, we consider a multistage expected utility maximization problem where the decision maker’s utility function at each stage depends on historical path and the information on the true utility function is incomplete. To mitigate the adverse impact arising from ambiguity regarding the true...

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Bibliographic Details

Published in:	Mathematical programming Vol. 214; no. 1-2; pp. 847 - 939
Main Authors:	Liu, Jia, Chen, Zhiping, Xu, Huifu
Format:	Journal Article
Language:	English
Published:	Heidelberg Springer Nature B.V 16.04.2025
Subjects:	Ambiguity Approximation Benders decomposition Decision making Dynamic programming Epistemology Expected utility Inventory control Optimization Preferences Robustness Utility functions
ISSN:	0025-5610, 1436-4646
Online Access:	Get full text
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