Code and Data Repository for Decision Making Under Cumulative Prospect Theory: An Alternating Direction Method of Multipliers
Xiangyu Cui, Rujun Jiang, Yun Shi, Rufeng Xiao, Yifan Yan · INFORMS journal on computing · 2024
The goal of this software is to demonstrate the effectiveness of the ADMM method proposed in this paper in the problem of decision making under cumulative prospect theory, as compared to other methods, as well as the effectiveness of the model when applied to empirical study.