Conference Papers Year : 2012

Sequential Decision Making with Rank Dependent Utility: a Minimax Regret Approach

Gildas Jeantet
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Patrice Perny
Olivier Spanjaard

Abstract

This paper is devoted to sequential decision making with Rank Dependent expected Utility (RDU). This decision criterion generalizes Expected Utility and enables to model a wider range of observed (rational) behaviors. In such a sequential decision setting, two conflicting objectives can be identified in the assessment of a strategy: maximizing the performance viewed from the initial state (optimality), and minimizing the incentive to deviate during implementation (deviation-proofness). In this paper, we propose a minimax regret approach taking these two aspects into account, and we provide a search procedure to determine an optimal strategy for this model. Numerical results are presented to show the interest of the proposed approach in terms of optimality, deviation-proofness and computability.
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Dates and versions

hal-01273054 , version 1 (13-07-2017)

Identifiers

  • HAL Id : hal-01273054 , version 1

Cite

Gildas Jeantet, Patrice Perny, Olivier Spanjaard. Sequential Decision Making with Rank Dependent Utility: a Minimax Regret Approach. 26th AAAI Conference on Artificial Intelligence, Jul 2012, Toronto, Canada. pp.1931-1937. ⟨hal-01273054⟩
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