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Adaptive utility and trial aversion. (English) Zbl 1214.62005

Summary: Decision making with adaptive utility provides a generalisation to classical Bayesian decision theory, allowing the creation of a normative theory for decision selection when preferences are initially uncertain. We address some of the foundational issues of adaptive utility as seen from the perspective of a Bayesian statistician. The implications that such a generalisation has upon the traditional utility concepts of the value of information and risk aversion are also explored, with a new concept of trial aversion introduced that is similar to risk aversion, but which concerns a decision maker’s aversion to selecting decisions with high uncertainty over resulting utility.

MSC:

62C10 Bayesian problems; characterization of Bayes procedures
91B16 Utility theory
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