A decision rule for imprecise probabilities based on pair-wise comparison of expectation bounds

International audienceThere are many ways to extend the classical expected utility decision rule to the case where uncertainty is described by (convex) probability sets. In this paper, we propose a simple new decision rule based on the pair-wise comparison of lower and upper expected bounds. We compare this rule to other rules proposed in the literature, showing that this new rule is both precise, computationally tractable and can help to boost the computation of other, more computationally demanding rule