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Decision-based model selection

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  • den Boer, Arnoud V.
  • Sierag, Dirk D.

Abstract

A key step in data-driven decision making is the choice of a suitable mathematical model. Complex models that give an accurate description of reality may depend on many parameters that are difficult to estimate; in addition, the optimization problem corresponding to such models may be computationally intractable and only approximately solvable. Simple models with only a few unknown parameters may be misspecified, but also easier to estimate and optimize. With such different models and some initial data at hand, a decision maker would want to know which model produces the best decisions. In this paper we propose a decision-based model-selection method that addresses this question.

Suggested Citation

  • den Boer, Arnoud V. & Sierag, Dirk D., 2021. "Decision-based model selection," European Journal of Operational Research, Elsevier, vol. 290(2), pages 671-686.
    • Handle: RePEc:eee:ejores:v:290:y:2021:i:2:p:671-686
    DOI: 10.1016/j.ejor.2020.08.025
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    References listed on IDEAS

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