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Payoffs-Beliefs Duality and the Value of Information

Michel De Lara () and Olivier Gossner ()
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Michel De Lara: CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École des Ponts ParisTech
Olivier Gossner: X - École polytechnique

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Abstract: In decision problems under incomplete information, payoff vectors (indexed by states of nature) and beliefs are naturally paired by bilinear duality. We exploit this duality to analyze the value of information using convex analysis. We then derive global estimates of the value of information of any information structure from local properties of the value function and of the set of optimal actions taken at the prior belief only, and apply our results to the marginal value of information.

Keywords: payoffs-beliefs duality AMS classification: 46N10; value of information; convex analysis; payoffs-beliefs duality 8; 91B06 (search for similar items in EconPapers)
Date: 2019-08-05
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