Uncertainty propagation in decision support models

Uncertainty propagation in decision support models

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Article ID: iaor200968867
Country: United Kingdom
Volume: 6
Issue: 2
Start Page Number: 155
End Page Number: 175
Publication Date: Jun 2009
Journal: International Journal of Operational Research
Authors:
Abstract:

We propose an analytical approach to uncertainty analysis in decision support models. After providing the expression of the generic central and non-central moment of the model output, we prove that the expected value of the output equals the weighted average of the utility of all the consequences. This result allows to generalise risk profile diagrams to the case of uncertain probabilities.

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