Comparing Averaged-Out Utilities of Probability Trees Having Random Parameters

DOI10.1137/0912060MaRDI QIDQ3357510zbMATH OpenOpenAlexFDO

Authors

Publication date 1991

Published in SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0912060

zbMATH Keywords

accuracyaveraged-out utilitycomputational complexitydecision analysisdistribution function estimationmarginal distributionsmomentsMonte Carloperformance measuresprobability treesrobust algorithmsensitivity analysissimulation

Mathematics Subject Classification ID

General considerations in statistical decision theory (62C05) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Algorithms for approximation of functions (65D15) Management decision making, including multiple objectives (90B50)

Recommendations

• Evaluation of multilevel decision trees
• Decision analysis by augmented probability simulation
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• Using probability trees to compute marginals with imprecise probabilities
• Recursive Utility for Stochastic Trees

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