Information Evaluation under Nonadditive Expected Utility

Irving H Lavalle and Yongsheng Xu

Journal of Risk and Uncertainty, 1990, vol. 3, issue 3, 75 pages

Abstract: We examine the choice-of-single-stage-experiment problem (Raiffa and Schlaifer, 1961) under the assumption that the decider's (weak) preference relation "greater than or equal to" satisfies Schmeidler's (1989) or Gilboa's (1987) axiomatization and is thus representable by a nonadditive expected-utility functional as a Choquet integrat 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 (La Valle, 1968) when "greater than or equal to" 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. Copyright 1990 by Kluwer Academic Publishers

Date: 1990
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