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Modified Polyhedral Method to Elicit Shape-Free Utility and Reduction of Conservatism in Robust Optimization
In this paper, we propose a modified polyhedral method to elicit a decision maker's (DM's) nonlinear univariate utility function without explicit knowledge of its shape, Lipschitz modulus, or inflection point. Inspired by \cite{THS04} for linear multivariate utility elicitation, we extend the polyhe
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