A Kind of Risk-Sensitive Group Decision-Making Based on MDP

Abstract:

One-switch utility function is used to describe how the risk attitude of a decision maker changes with his wealth level. In this paper additive decision rule is used for the aggregation of decision member’s utility which is represented by one-switch utility function. Based on Markov decision processes (MDP) and group utility, a dynamic, multi-stages and risk sensitive group decision model is proposed. The proposed model augments the state of MDP with wealth level, so the policy of the model is defined as an action executed in a state and a wealth level interval. A backward-induction algorithm is given to solve the optimal policy for the model. Numerical examples show that personal risk attitude has a great influence on group decision-making when personal risk attitudes of members are different, while the weights of members play a critical role when personal risk attitudes of members are similar.

• Periodical: Advanced Engineering Forum (Volumes 6-7)
• Pages: 267-272
• DOI: https://doi.org/10.4028/www.scientific.net/AEF.6-7.267
• Online since: September 2012
• Authors: Ming Shan You, Wei Zeng, Hong Tao Zhou
• Keywords: Group Decision-Making, MDP, One-Switch Utility Function, Risk Attitude

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