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Entropy Methods For Univariate Distributions in Decision Analysis

 

作者: Ali E. Abbas,  

 

期刊: AIP Conference Proceedings  (AIP Available online 1903)
卷期: Volume 659, issue 1  

页码: 339-349

 

ISSN:0094-243X

 

年代: 1903

 

DOI:10.1063/1.1570551

 

出版商: AIP

 

数据来源: AIP

 

摘要:

One of the most important steps in decision analysis practice is the elicitation of the decision‐maker’s belief about an uncertainty of interest in the form of a representative probability distribution. However, the probability elicitation process is a task that involves many cognitive and motivational biases. Alternatively, the decision‐maker may provide other information about the distribution of interest, such as its moments, and the maximum entropy method can be used to obtain a full distribution subject to the given moment constraints. In practice however, decision makers cannot readily provide moments for the distribution, and are much more comfortable providing information about the fractiles of the distribution of interest or bounds on its cumulative probabilities. In this paper we present a graphical method to determine the maximum entropy distribution between upper and lower probability bounds and provide an interpretation for the shape of the maximum entropy distribution subject to fractile constraints, (FMED). We also discuss the problems with the FMED in that it is discontinuous and flat over each fractile interval. We present a heuristic approximation to a distribution if in addition to its fractiles, we also know it is continuous and work through full examples to illustrate the approach. © 2003 American Institute of Physics

 

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