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Disjoint Programming in Computational Decision Analysis
Stockholm University, Faculty of Social Sciences, Department of Computer and Systems Sciences.
Stockholm University, Faculty of Social Sciences, Department of Computer and Systems Sciences.
2010 (English)In: Journal of Uncertain Systems, ISSN 1752-8909, Vol. 4, no 1, 4-13 p.Article in journal (Refereed) Published
Abstract [en]

This paper discusses a series of imprecise decision models and their corresponding computational aspects arising in computational decision analysis. The imprecise decision models relax the traditional point estimates into intervals and incorporate various types of vague information represented as linear constraints from a decision-maker. When the principle of maximizing expected utility is applied as the decision rule, the evaluations of these models become nonconvex optimization problems and require some global optimization strategies. This paper presents a class of global optimization algorithms for solving such non-convex programs. We take advantage of polar cuts and the disjoint structural property of the imprecise decision models to develop generalized cutting plane methods that are different from the traditional class of branch and bound approaches.

Place, publisher, year, edition, pages
2010. Vol. 4, no 1, 4-13 p.
Keyword [en]
global optimization, disjoint programming, cutting plane, imprecise decision analysis
National Category
Information Science
Research subject
Computer and Systems Sciences
Identifiers
URN: urn:nbn:se:su:diva-36292OAI: oai:DiVA.org:su-36292DiVA: diva2:289167
Available from: 2010-01-22 Created: 2010-01-22 Last updated: 2010-11-24Bibliographically approved

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http://www.worldacademicunion.com/journal/jus/jusVol04No1paper01.pdf

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