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Journal of Business Economics

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01.01.2016 | Original Paper

Robust ordinal regression for decision under risk and uncertainty

verfasst von: Salvatore Corrente, Salvatore Greco, Benedetto Matarazzo, Roman Słowiński

Erschienen in: Journal of Business Economics | Ausgabe 1-2/2016

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Abstract

We apply the Robust Ordinal Regression (ROR) approach to decision under risk and uncertainty. ROR is a methodology proposed within multiple criteria decision aiding (MCDA) with the aim of taking into account the whole set of instances of a given preference model, for example instances of a value function, which are compatible with preference information supplied by the Decision Maker (DM) in terms of some holistic preference comparisons of alternatives. ROR results in two preference relations, necessary and possible; the necessary weak preference relation holds if an alternative is at least as good as another one for all instances compatible with the DM’s preference information, while the possible weak preference relation holds if an alternative is at least as good as another one for at least one compatible instance. To apply ROR to decision under risk and uncertainty we have to reformulate such a problem in terms of MCDA. This is obtained by considering as criteria a set of quantiles of the outcome distribution, which are meaningful for the DM. We illustrate our approach in a didactic example based on the celebrated newsvendor problem.

Vorheriger Artikel Finding better alternatives than those considered in a multiple criteria data sample

Nächster Artikel Economic objectives, uncertainties and decision making in the energy sector

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Supposing that all criteria are gain criteria, a dominates b if \(g_{j}(a)\ge g_{j}(b)\) for all \(j=1,\ldots ,m\), and there exists at least one j such that \(g_{j}(a)>g_{j}(b)\).

\(G_{1}\) is the subset of criteria G on which the DM has expressed direct preferences of the type 3 and 4 shown in Sect. 4.2.

\(G_{2}\) is the subset of criteria G on which the DM has expressed indirect preferences of the type 5 and 6 shown in Sect. 4.2.

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Titel: Robust ordinal regression for decision under risk and uncertainty
verfasst von: Salvatore Corrente
Salvatore Greco
Benedetto Matarazzo
Roman Słowiński
Publikationsdatum: 01.01.2016
Verlag: Springer Berlin Heidelberg
Erschienen in: Journal of Business Economics / Ausgabe 1-2/2016
Print ISSN: 0044-2372
Elektronische ISSN: 1861-8928
DOI: https://doi.org/10.1007/s11573-015-0801-5

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