Information Value as a Metacriterion for Decision Rules Under Strict Uncertainty

Summary

This contribution proposes the notions of information structure and information value as a tool for judging on the rationality of decision rules in decision theory under uncertainty. Traditionally, sets of axioms which consider the ranking of alternatives or the choice set are used for this purpose. But some intuitively unfavourable criteria are not rejected decidedly enough with the help of the known axioms only, as for instance the maximax-rule. With the concept of information resistance, here newly introduced in the discussion, so called “global decision rules” can be criticized in an adequate manner.

On the other hand it is pointed out, that the concept of information value must sometimes used with caution. For instance, A. Wald’s much esteemed maximin-rule, in general reacts to a intuitively “worthless” information with a positive information value.