A computation method in robust Bayesian decision theory

DOI10.1016/J.IJAR.2008.03.021zbMath1185.62013OpenAlexW2069902026MaRDI QIDQ962856

Christophe Abraham

Publication date: 7 April 2010

Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ijar.2008.03.021

zbMATH Keywords

discretizationsimulated annealingMonte Carlo optimizationglobal robustnessoptimal decisionsclass of utility functions

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05)

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Uses Software

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Cites Work

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• Statistical decision theory and Bayesian analysis. 2nd ed
• Robust Bayes and empirical Bayes analysis with \(\epsilon\)-contaminated priors
• Bayesian inference using intervals of measures
• Analytic approximation of the interval of Bayes actions derived from a class of loss functions
• An overview of robust Bayesian analysis. (With discussion)
• Global robustness with respect to the loss function and the prior
• Asymptotic global robustness in Bayesian decision theory
• State of the Art—Utility Assessment Methods
• RISK ANALYSIS UNDER PARTIAL PRIOR INFORMATION AND NONMONOTONE UTILITY FUNCTIONS
• The Non Dominated Set in Bayesian Decision Problems with Convex Loss Functions
• Ranges of Posterior Expected Losses and ε-Robust Actions
• Computing Efficient Sets in Bayesian Decision Problems
• Robust Bayesian analysis

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