Payoffs-Beliefs Duality and the Value of Information

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.
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Contributor : Michel de Lara <>
Submitted on : Monday, August 5, 2019 - 11:22:37 AM
Last modification on : Wednesday, August 7, 2019 - 1:12:06 AM

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  • HAL Id : hal-01941006, version 2
  • ARXIV : 1908.01633

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Michel de Lara, Olivier Gossner. Payoffs-Beliefs Duality and the Value of Information. 2019. ⟨hal-01941006v2⟩

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