G3不确定决策问题.ppt

G3 不确定决策问题 詹文杰（教授/博导） Office: 华中科技大学管理学院611室 Tel: 027 Email: wjzhan@mail.hust.edu.cn 根据环境的不确定性分类 学习目标 掌握五种严格不确定决策问题的决策准则： 1 .乐观准则(The maximax criterion) 2. 悲观准则(The maximin criterion) 3. Hurwitz准则(The Hurwicz criterion) 4. 等概率准则(The Laplace criterion ) 5. 后悔值极小化极大(The minimax Regret or Savage criterion) G3 不确定决策问题 3.1 不确定型决策问题的五大准则 3.2 不确定型决策问题的应用举例 3.3 不确定型决策问题的研究论文 3.1 不确定型决策问题的五大准则 (1) 乐观准则(The maximax criterion) (2) 悲观准则(The maximin criterion) (3) Hurwitz准则(The Hurwicz criterion) (4) 等概率准则(The Laplace criterion) (5) 最小后悔值准则(The minimax Regret criterion or the Savage criterion) (1) The maximax criterion Let us assume for the moment that you have a very optimistic view of the future. If this were the case you would tend to choose the decision which could generate the highest possible pay-off. Such an approach is known as the maximax criterion, since we are searching for the maximum of the maximum pay-offs. Such an approach follows two steps: 1. For each possible decision, identify the maximum possible pay-off. 2. Comparing these pay-offs, select the decision that will give the maximum pay-off. (1) The maximax criterion: example (1) The maximax criterion (cont.) (1) The maximax criterion (cont.) (2) The maximin criterion However, we are not all optimistic about the future. There is something to be said for examining the worst-case scenario - being pessimistic about future outcomes. In such a situation we can apply the maximin criterion, since we search for the maximum of the minimum pay-offs. For each possible decision we determine the minimum (worst) possible pay-off and then choose the largest of these. The summary of the approach is: 1. For each possible decision, identify the minimum possible pay-off. 2. Comparing these pay-offs, select the decision that will give the maximum pay-off. (2) The maximin criterion(cont.) (2) The maximin criterion(cont.) (2) The maximin criterion(cont.) (3) The Hurwicz criterion In an attempt to achieve a co