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arXiv · 2606.12868

Maximum Utility Split Method for Utility Preference Elicitation

Bo Chen·Jia Liu·Huifu Xu
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Abstract

In this paper, we propose a new approach, called maximum utility split (MUS) scheme, which is built on random utility split (RUS) scheme but with a notable difference: one lottery is designed with two fixed outcomes but with varying probability, and the other has a deterministic outcome specifically chosen at the point where the range between the largest and smallest possible utility values is maximized. Consequently, the probability of random lottery is set such that the range of the ambiguity set of utility functions is reduced by half at the point. Under moderate conditions, we show that MUS can successively generate a sequence of such questionnaires and effectively reduce the ambiguity set, eventually converging to the true utility function as the number of questionnaires increases. The main challenge is to effectively identify the point with the largest utility range for a given ambiguity set constructed from preference information. Based on the structure of the ambiguity set, we propose an interval-based algorithm which identifies each certain-outcome lottery by solving a sequence of linear programs. Moreover, to deal with the case where elicitation terminates before the ambiguity set reduces to a singleton, we demonstrate how to figure out a nominal utility function by solving optimization programs. These identify the smallest and largest utility functions under the Kantorovich metric within the ambiguity set, after which we identify a nominal utility function located in the middle of them. Finally, numerical results demonstrate the efficiency of the MUS method and the performance of a robo-advisor system based on MUS-type queries and the nominal utility elicitation. While the main discussions focus on concave utility functions, we also demonstrate how the MUS approach can be extended to accommodate general non-concave utility functions, particularly S-shaped ones.

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Bo Chen, Jia Liu, Huifu Xu. 2026-06-11. Maximum Utility Split Method for Utility Preference Elicitation. https://arxiv.org/abs/2606.12868

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