Decision Analysis by Augmented Probability Simulation
We provide a generic Monte Carlo method to find the alternative of maximum expected utility in a decision analysis. We define an artificial distribution on the product space of alternatives and states, and show that the optimal alternative is the mode of the implied marginal distribution on the alternatives. After drawing a sample from the artificial distribution, we may use exploratory data analysis tools to approximately identify the optimal alternative. We illustrate our method for some important types of influence diagrams.
Volume (Year): 45 (1999)
Issue (Month): 7 (July)
|Contact details of provider:|| Postal: 7240 Parkway Drive, Suite 300, Hanover, MD 21076 USA|
Web page: http://www.informs.org/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- James E. Smith, 1993. "Moment Methods for Decision Analysis," Management Science, INFORMS, vol. 39(3), pages 340-358, March.
- Shenoy, Prakash P., 1994. "A comparison of graphical techniques for decision analysis," European Journal of Operational Research, Elsevier, vol. 78(1), pages 1-21, October.
- Izhar Matzkevich & Bruce Abramson, 1995. "Decision Analytic Networks in Artificial Intelligence," Management Science, INFORMS, vol. 41(1), pages 1-22, January.
- Brewer, M. J. & Aitken, C. G. G. & Talbot, M., 1996. "A comparison of hybrid strategies for Gibbs sampling in mixed graphical models," Computational Statistics & Data Analysis, Elsevier, vol. 21(3), pages 343-365, March.
- Allen C. Miller, III & Thomas R. Rice, 1983. "Discrete Approximations of Probability Distributions," Management Science, INFORMS, vol. 29(3), pages 352-362, March.
When requesting a correction, please mention this item's handle: RePEc:inm:ormnsc:v:45:y:1999:i:7:p:995-1007. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mirko Janc)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.