In the context of decision under uncertainty, standard gambles are classically used to elicit a utility function on a set X of consequences. The utility of an element x in X is derived from the probability p for which a gamble giving the best outcome in X with probability p and the worst outcome in X otherwise, is indifferent to getting x for sure. In many situations, uncertainty that can be observed on the true value of X concerns only neighbour values. Uncertainty is then represented by a probability distribution whose support is an interval. In this case, standard gambles are unrealistic for the decision maker. We consider uncertainty represented by an equi-probability over an interval of X. This paper addresses the elicitation of a utility function on X by obtaining the certainty equivalent of an equi-probability over an interval of X. We show that not all utility models are suitable to accomplish this task.
CITATION STYLE
Labreuche, C., Destercke, S., & Mayag, B. (2015). Elicitation of a utility from uncertainty equivalent without standard gambles. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 9161, pp. 25–35). Springer Verlag. https://doi.org/10.1007/978-3-319-20807-7_3
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