Weighted sets of probabilities and minimax weighted expected regret: a new approach for representing uncertainty and making decisions
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Publication:893029
DOI10.1007/S11238-014-9471-YzbMATH Open1378.91064arXiv1302.5681OpenAlexW1569078982MaRDI QIDQ893029FDOQ893029
Authors: Joseph Y. Halpern, Samantha Leung 
Publication date: 13 November 2015
Published in: Theory and Decision (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1302.5681
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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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