High dimensional decision making, upper and lower bounds

Farzad Pourbabaee

Economics Letters, 2021, vol. 204, issue C

Abstract: A decision maker’s utility depends on her action a∈A⊂Rd and the payoff relevant state of the world θ∈Θ. One can define the value of acquiring new information as the difference between the maximum expected utility pre- and post information acquisition. In this paper, I find asymptotic results on the expected value of information as d→∞, by using tools from the theory of (sub)-Gaussian processes and generic chaining.

Keywords: Decision making; Information valuation; High dimensional vectors (search for similar items in EconPapers)
JEL-codes: C44 D81 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001713

DOI: 10.1016/j.econlet.2021.109894

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