Multi-currency Influence Diagrams

Søren Holbech Nielsen, Thomas Dyhre Nielsen, Finn Verner Jensen

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Abstract

Solution of decision problems, which involve utilities of several currencies, have traditionally required the problems to be converted into decision problems involving utilities of only one currency. This conversion are carried out using a tacit transformation, under the assumption that the converted problem is equivalent to the original one. In this paper we present an extension of the Influence Diagram framework, which allows for these decision problems to be modelled in their original form. We present an algorithm that, given a conversion function between the currencies, discovers a characterization of all other such functions, which would give rise to the same optimal strategy. As this characterization can be complex, we give methods to present the functions in a more compact, but more inaccurate, manner
Original languageEnglish
Title of host publicationProceedings of the Second European Workshop on Probabilistic Graphical Models
EditorsPeter Lucas
Number of pages8
Publication date2004
Pages153-160
Publication statusPublished - 2004
EventPGM´04 - Leiden, Netherlands
Duration: 4 Sep 20048 Sep 2004
Conference number: 2

Conference

ConferencePGM´04
Number2
CountryNetherlands
CityLeiden
Period04/09/200408/09/2004

Fingerprint

Influence Diagrams
Currency
Decision problem
Optimal Strategy
Inaccurate

Keywords

  • soft values
  • influence diagrams
  • sensitivity analysis

Cite this

Nielsen, S. H., Nielsen, T. D., & Jensen, F. V. (2004). Multi-currency Influence Diagrams. In P. Lucas (Ed.), Proceedings of the Second European Workshop on Probabilistic Graphical Models (pp. 153-160)
Nielsen, Søren Holbech ; Nielsen, Thomas Dyhre ; Jensen, Finn Verner. / Multi-currency Influence Diagrams. Proceedings of the Second European Workshop on Probabilistic Graphical Models. editor / Peter Lucas. 2004. pp. 153-160
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Nielsen, SH, Nielsen, TD & Jensen, FV 2004, Multi-currency Influence Diagrams. in P Lucas (ed.), Proceedings of the Second European Workshop on Probabilistic Graphical Models. pp. 153-160, Leiden, Netherlands, 04/09/2004.

Multi-currency Influence Diagrams. / Nielsen, Søren Holbech; Nielsen, Thomas Dyhre; Jensen, Finn Verner.

Proceedings of the Second European Workshop on Probabilistic Graphical Models. ed. / Peter Lucas. 2004. p. 153-160.

Research output: Contribution to book/anthology/report/conference proceedingArticle in proceedingResearchpeer-review

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Nielsen SH, Nielsen TD, Jensen FV. Multi-currency Influence Diagrams. In Lucas P, editor, Proceedings of the Second European Workshop on Probabilistic Graphical Models. 2004. p. 153-160