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A Conjugate Class of Utility Functions for Sequential Decision Problems

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  • Brett Houlding
  • Frank P. A. Coolen
  • Donnacha Bolger

Abstract

The use of the conjugacy property for members of the exponential family of distributions is commonplace within Bayesian statistical analysis, allowing for tractable and simple solutions to problems of inference. However, despite a shared motivation, there has been little previous development of a similar property for using utility functions within a Bayesian decision analysis. As such, this article explores a class of utility functions that appear to be reasonable for modeling the preferences of a decisionmaker in many real‐life situations, but that also permit a tractable and simple analysis within sequential decision problems.

Suggested Citation

  • Brett Houlding & Frank P. A. Coolen & Donnacha Bolger, 2015. "A Conjugate Class of Utility Functions for Sequential Decision Problems," Risk Analysis, John Wiley & Sons, vol. 35(9), pages 1611-1622, September.
    • Handle: RePEc:wly:riskan:v:35:y:2015:i:9:p:1611-1622
    DOI: 10.1111/risa.12359
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    References listed on IDEAS

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