Weighted sets of probabilities and minimax weighted expected regret: a new approach for representing uncertainty and making decisions

DOI10.1007/S11238-014-9471-YzbMATH Open1378.91064OpenAlexW1569078982MaRDI QIDQ893029FDOQ893029

Authors Joseph Y. Halpern, Samantha Leung 

Publication date 13 November 2015

Published in Theory and Decision (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1302.5681

zbMATH Keywords

decision theoryambiguity aversionminimax regret

Mathematics Subject Classification ID

Decision theory (91B06)

Abstract: We consider a setting where an agent's uncertainty is represented by a set of probability measures, rather than a single measure. Measure-by-measure updating of such a set of measures upon acquiring new information is well-known to suffer from problems; agents are not always able to learn appropriately. To deal with these problems, we propose using weighted sets of probabilities: a representation where each measure is associated with a weight, which denotes its significance. We describe a natural approach to updating in such a situation and a natural approach to determining the weights. We then show how this representation can be used in decision-making, by modifying a standard approach to decision making -- minimizing expected regret -- to obtain minimax weighted expected regret (MWER). We provide an axiomatization that characterizes preferences induced by MWER both in the static and dynamic case.

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Cited In (5)

• Project net present value estimation under uncertainty
• Weighted Regret-Based Likelihood: A New Approach to Describing Uncertainty
• Making decisions using sets of probabilities: updating, time consistency, and calibration
• Choice-Based Elicitation and Decomposition of Decision Weights for Gains and Losses Under Uncertainty
• Weighted regret-based likelihood: a new approach to describing uncertainty

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