Algorithm to Elicit Utilities via the Uncertain Equivalence Method

Abstract

An algorithm for the elicitation of single knots from the utility curve of real decision makers is proposed. The preferential equations of four utility elicitation techniques, namely probability equivalence, certainty equivalence, lottery equivalence and uncertain equivalence are derived from a generic theoretical setup of elicitation methods and a practical algorithm is elaborated for the application of the uncertain equivalence method to both monotonically increasing and decreasing preferences. The algorithm determines uncertainty intervals for the roots using triple bisection. Two example cases are discussed, and the preferences of the decision maker are elicited in one of them through a combination of uncertain equivalence - lottery equivalence algorithm.