Sabyasachi Chatterjee, Subhajit Goswami, ADAPTIVE ESTIMATION OF MULTIVARIATE PIECEWISE POLYNOMIALS AND BOUNDED VARIATION FUNCTIONS BY OPTIMAL DECISION TREES, The Annals of Statistics, Vol. 49, No. 5 ...

In this problem, the optimal path is one that maximizes the expected utility, with the utility function being piecewise-linear and concave. Such a utility function can be used to approximate nonlinear ...