Related papers: Increasing Value of Information Implies Separable …
Given data on the choices made by consumers for different offer sets, a key challenge is to develop parsimonious models that describe and predict consumer choice behavior while being amenable to prescriptive tasks such as pricing and…
It is shown that in the case of a single decision maker who optimizes several possibly conflicting objectives, the amount of information available in preference relations among pairs of possible decisions, when compared with all other…
I consider decision-making constrained by considerations of morality, rationality, or other virtues. The decision maker (DM) has a true preference over outcomes, but feels compelled to choose among outcomes that are top-ranked by some…
Distributed architectures have become ubiquitous in many complex technical and socio-technical systems because of their role in improving uncertainty management, accommodating multiple stakeholders, and increasing scalability and…
We use decision theory to compare variants of differential privacy from the perspective of prospective study participants. We posit the existence of a preference ordering on the set of potential consequences that study participants can…
This paper presents expression of mutual information that defines the information gain in planning of sensing resources, when the goal is to reduce the forecast uncertainty of some quantities of interest and the system dynamics is described…
This paper investigates a purely qualitative version of Savage's theory for decision making under uncertainty. Until now, most representation theorems for preference over acts rely on a numerical representation of utility and uncertainty…
Information relaxation and duality in Markov decision processes have been studied recently by several researchers with the goal to derive dual bounds on the value function. In this paper we extend this dual formulation to controlled Markov…
Traditional learning approaches for classification implicitly assume that each mistake has the same cost. In many real-world problems though, the utility of a decision depends on the underlying context $x$ and decision $y$. However,…
A seller offers an asset in a decentralised market. Buyers have private signals about their common value. I study whether the market becomes allocatively more efficient with (i) more buyers, (ii) better-informed buyers. Both increase the…
A mechanism for releasing information about a statistical database with sensitive data must resolve a trade-off between utility and privacy. Privacy can be rigorously quantified using the framework of {\em differential privacy}, which…
A researcher observes a finite sequence of choices made by multiple agents in a binary-state environment. Agents maximize expected utilities that depend on their chosen alternative and the unknown underlying state. Agents learn about the…
Exponential models of distributions are widely used in machine learning for classiffication and modelling. It is well known that they can be interpreted as maximum entropy models under empirical expectation constraints. In this work, we…
In this note, we study the utility maximization problem on the terminal wealth under proportional transaction costs and bounded random endowment. In particular, we restrict ourselves to the num\'eraire-based model and work with utility…
One of the most complex tasks of decision making and planning is to gather information. This task becomes even more complex when the state is high-dimensional and its belief cannot be expressed with a parametric distribution. Although the…
Mutual information is widely used, in a descriptive way, to measure the stochastic dependence of categorical random variables. In order to address questions such as the reliability of the descriptive value, one must consider…
We study an information analogue of infinitely divisible probability distributions, where the i.i.d. sum is replaced by the joint distribution of an i.i.d. sequence. A random variable $X$ is called informationally infinitely divisible if,…
We study the two-times differentiability of the value functions of the primal and dual optimization problems that appear in the setting of expected utility maximization in incomplete markets. We also study the differentiability of the…
We consider a general statistical estimation problem involving a finite-dimensional target parameter vector. Beyond an internal data set drawn from the population distribution, external information, such as additional individual data or…
In this work we generalize standard Decision Theory by assuming that two outcomes can also be incomparable. Two motivating scenarios show how incomparability may be helpful to represent those situations where, due to lack of information,…