An approach to and computational results on testing the form oa decision maker’s utility function

This paper considers the problem of identifying the form of a decision maker’s (DM) utility function. It considers a set of alternatives each defined by a number of criteria, and assumes that the DM’s preferences are consistent with some underlying utility function. The paper presents some theory and develops approaches to test whether the DM’s preferences are consistent with a linear, a quasi-concave, a quasi-convex or a genral monotonic function. It presents computational experience showing that in almost all cases the approaches correctly identify the form of the underlying utility function and require very little preference information of the DM.