Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions

Abstract: Decision maker's preferences are often captured by some choice functions which are used to rank prospects. In this paper, we consider ambiguity in choice functions over a multi-attribute prospect space. Our main result is a robust preference model where the optimal decision is based on the worst-case choice function from an ambiguity set constructed through preference elicitation with pairwise comparisons of prospects. Differing from existing works in the area, our focus is on quasi-concave choice functions rather than concave functions and this enables us to cover a wide range of utility/risk preference problems including multi-attribute expected utility and $S$-shaped aspirational risk preferences. The robust choice function is increasing and quasi-concave but not necessarily translation invariant, a key property of monetary risk measures. We propose two approaches based respectively on the support functions and level functions of quasi-concave functions to develop tractable formulations of the maximin preference robust optimization model. The former gives rise to a mixed integer linear programming problem whereas the latter is equivalent to solving a sequence of convex risk minimization problems. To assess the effectiveness of the proposed robust preference optimization model and numerical schemes, we apply them to a security budget allocation problem and report some preliminary results from experiments.