Uncertainty propagation in decision support models
by E. Borgonovo
International Journal of Operational Research (IJOR), Vol. 6, No. 2, 2009

Abstract: We propose an analytical approach to uncertainty analysis in decision support models. After providing the expression of the generic central and non-central moment of the model output, we prove that the expected value of the output equals the weighted average of the utility of all the consequences. This result allows to generalise risk profile diagrams to the case of uncertain probabilities.

Online publication date:: Fri, 19-Jun-2009

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