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 ...

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 ...