6533b835fe1ef96bd129fd26

RESEARCH PRODUCT

Solving the discrete multiple criteria problem using linear prospect theory

Pekka Salminen

subject

Mathematical optimizationInformation Systems and ManagementGeneral Computer ScienceDecision theoryConvex preferencesMarginal valueManagement Science and Operations ResearchType (model theory)Decision problemIndustrial and Manufacturing EngineeringPiecewise linear functionProspect theoryModeling and SimulationValue (economics)Mathematical economicsMathematics

description

Abstract Prospect theory developed by Kahneman and Tversky is a popular model of choice in decision problems under uncertainty. Prospect theory has recently been extended to multiple criteria choice problems. In this paper, an interactive method for solving discrete multiple criteria decision problems, based on prospect theory type value functions, has been developed. Piecewise linear marginal value functions are assumed to approximate the S-shaped value functions of prospect theory. Therefore, the proposed procedure is valid only for convex preferences.

yearjournalcountryeditionlanguage
1994-01-01European Journal of Operational Research
https://doi.org/10.1016/s0377-2217(12)80001-4