A framework for sensitivity analysis of decision trees

@inproceedings{Kaminski2018AFF,
  title={A framework for sensitivity analysis of decision trees},
  author={Bogumil Kaminski and Michal Jakubczyk and Przemyslaw Szufel},
  booktitle={CEJOR},
  year={2018}
}
In the paper, we consider sequential decision problems with uncertainty, represented as decision trees. Sensitivity analysis is always a crucial element of decision making and in decision trees it often focuses on probabilities. In the stochastic model considered, the user often has only limited information about the true values of probabilities. We develop a framework for performing sensitivity analysis of optimal strategies accounting for this distributional uncertainty. We design this robust… CONTINUE READING
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