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Journal Articles Accounting Horizons Year : 2014

Possibilistic sequential decision making


When the information about uncertainty cannot be quantified in a simple, probabilistic way, the topic of possibilistic decision theory is often a natural one to consider. The development of possibilistic decision theory has lead to the proposition a series of possibilistic criteria, namely: optimistic and pessimistic possibilistic qualitative criteria [7], possibilistic likely dominance [2] and [9], binary possibilistic utility [11] and possibilistic Choquet integrals [24]. This paper focuses on sequential decision making in possibilistic decision trees. It proposes a theoretical study on the complexity of the problem of finding an optimal strategy depending on the monotonicity property of the optimization criteria – when the criterion is transitive, this property indeed allows a polytime solving of the problem by Dynamic Programming. We show that most possibilistic decision criteria, but possibilistic Choquet integrals, satisfy monotonicity and that the corresponding optimization problems can be solved in polynomial time by Dynamic Programming. Concerning the possibilistic likely dominance criteria which is quasi-transitive but not fully transitive, we propose an extended version of Dynamic Programming which remains polynomial in the size of the decision tree. We also show that for the particular case of possibilistic Choquet integrals, the problem of finding an optimal strategy is NP-hard. It can be solved by a Branch and Bound algorithm. Experiments show that even not necessarily optimal, the strategies built by Dynamic Programming are generally very good.
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hal-01118468 , version 1 (19-02-2015)



Nahla Ben Amor, Hélène Fargier, Wided Guezguez. Possibilistic sequential decision making. Accounting Horizons, 2014, vol. 55 (n° 5), pp. 1269-1300. ⟨10.1016/j.ijar.2013.11.005⟩. ⟨hal-01118468⟩
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