Optimal Discrete Approximations for Continuous Outcomes with Applications in Decision and Risk Analysis
研究了在决策与风险分析中如何选择离散概率分布来近似连续不确定事件，提出一种基于Taguchi容差分析修改的最优近似方法，该方法在独立正态分布假设下最优，且在其他情况下稳健易用。
In decision and risk analysis, it is common to use discrete probability distributions to approximate uncertain events with continuous outcomes. This paper discusses how these approximations may be selected. A class of approximations based on a modification to Taguchi's work on tolerance analysis is shown to be optimal under assumptions of independent uncertainties with normally distributed outcomes. The approximation procedure is shown to be robust in many other situations and is extremely easy to use in practice. We also show how the approximation may be integrated into the process of subjective probability estimation by a ‘subject-matter expert’.