Decision Analysis Working Paper Abstract
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WP030025
|
Title: Maximum Entropy Utility
Authors: Ali
Abbas Stanford University
Date: February 2004 (updated)
Status: Working Paper
This paper presents a method to assign utility values when partial information
is available about the decision maker’s preferences. We introduce an analogy
between probability and utility through the notion of a utility density
function and illustrate the application of this analogy to the maximum
entropy principle. We discuss the implications of “maximum entropy utility”
on the preference behavior of the decision maker and provide new interpretations
for utility functions that are commonly used in practice. We extend the
analysis to the case of multiple attributes and work through several examples
to illustrate the approach.
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