This paper considers the maximization of certain equivalent reward generated by a Markov decision process with constant risk sensitivity. First, value iteration is used to optimize possibly time-varying processes of finite duration. Then a policy iteration procedure is developed to find the...

Personal, or subjective, probabilities are used as inputs to many inferential and decision-making models, and various procedures have been developed for the elicitation of such probabilities. Included among these elicitation procedures are scoring rules, which involve the computation of a score...

We present a new method for constructing joint probability distributions of continuous random variables using isoprobability contours--sets of points with the same joint cumulative probability. This approach reduces the joint probability assessment into a one-dimensional cumulative probability...

This paper presents an axiomatic approach to the problem of aggregating expert assessments of an event's probability into some group probability assessment. A multiplicative formula is derived.

This Note considers the problem of aggregating individual probability estimates of an event to obtain a group estimate. Norman Dalkey has argued that no rigorous theory of probability aggregation is possible for the following reasons: (1) There is no consistent way of aggregating individual...

Savage's axioms show the rationality of maximizing expected utility when all uncertainties are explicitly modelled. But individuals actually make decisions in bounded contexts called small worlds. Savage's axioms do not imply the optimality of maximizing expected utility in small worlds unless...

The additive utility formula developed by Harsanyi specifies how a rational ethical individual acting on behalf of other people ought to behave. Unfortunately the formula is not invariant to arbitrary utility transformations and hence requires interpersonal comparisons of utility. Many...