A Note on Determining the Range of Optimality for Decision Analysis Problems

The method for determining the range over which a state probability may change without affecting the optimal solution is well documented in introductory management science text books for problems in which there are only two states of nature. For more realistic problems in which there are more than two states of nature, the methodology does not work. In this paper, we extend the approach taken for the two state problem to handle n states and present a simple algorithm for determining the range.