Weighted Garbling

Daehyun Kim and Ichiro Obara

Papers from arXiv.org

Abstract: We introduce and develop an information order for experiments based on a generalized notion of garbling called weighted garbling. An experiment is more informative than another in this order if the latter experiment is obtained by a weighted garbling of the former. This notion can be shown to be equivalent to a regular garbling conditional on some event for the former experiment. We also characterize this order in terms of posterior beliefs and show that it only depends on the support of posterior beliefs, not their distribution. Our main results are two characterizations of the weighted-garbling order based on some decision problems. For static Bayesian decision problems, one experiment is more informative than another in the weighted-garbling order if and only if a decision maker's value of information (i.e., the difference in the optimal expected payoffs with and without an experiment) from the former is guaranteed to be some fraction of the value of information from the latter for any decision problem. When the weighted garbling is a regular garbling, this lower bound reduces to the value of information itself as the fraction becomes one, thus generalizing the result in Blackwell (1951, 1953). We also consider a class of stopping time problems where the state of nature changes over time according to a hidden Markov process, and a patient decision maker can conduct the same experiment as many times as she wants without any cost before making a one-time decision. We show that an experiment is more informative than another in the weighted-garbling order if and only if the decision maker achieves a weakly higher expected payoff for any problem with a regular prior belief in this class.

Date: 2024-10
New Economics Papers: this item is included in nep-exp and nep-mic
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