Information evaluation under nonadditive expected utility

✍ Scribed by Irving H. Lavalle; Yongsheng Xu

• Book ID: 104627033
• Publisher: Springer
• Year: 1990
• Tongue: English
• Weight: 865 KB
• Volume: 3
• Category: Article
• ISSN: 0895-5646
• DOI: 10.1007/bf00116784

✦ Synopsis

We examine the choice-of-single-stage-experiment problem (RaitIa and Schlaifer, 1961) under the assumption that the decider's (weak) preference relation > satisfies Schmeidler's (1989) or Gilboa's (1987) axiomatization and is thus representable by a nonadditive expected-utility functional as a Choquet integral w.r.t. a monotone probability measure on events. The basic properties of information value, certainty equivalent of information cost, net gain of information, and optimal choice of experiment that obtain (LaValle, 1968) when > satisfies the Anscombe-Aumann (1963) or Savage (1954) axiomatizations continue to obtain in the more general Schmeidler-Gilboa context-provided that there is no incentive to randomize the choice of experiment. When this proviso fails, information value can in general be assigned only to the set of available experiments.