Indirect elicitation of non-linear multi-attribute utility functions. A dual procedure combined with DEA

This paper proposes a non-interactive method to elicit non-linear multi-attribute utility functions which is based on duality results. The idea is to obtain a utility function which is compatible with the observed behavior of decision makers. The paper builds on a previous work by André and Riesgo [A non-interactive method to elicit non-linear multi-attribute utility functions. Theory and application to agricultural economics. European Journal of Operational Research 2008;181:793–807] but it eliminates an important shortcoming: the necessity to have an analytical expression of the efficient set or an estimation of it. The alternative approach presented in this paper consists in using a method of projection onto the true efficient set, based on data envelopment analysis (DEA). In a simulation exercise we check the ability of the method to recover true preference parameters in the presence of errors made by decision makers.