Reducibility of Experiments in Multistep Decision Problems

Abstract

The notion of informativity of experiment (Chapters 6, 7) is useful for the extension of some stochastic decision problems to random-in-a-broad-sense decision problems. One such extension that concerns a multistep decision problem is considered here. A multistep decision problem arises when the decision-maker has to make sequential decisions in the same situation [14]. If an experiment is included in this system, then sequential accumulation of information—decrease of uncertainty—becomes feasible [18]. Indeed, let n be the number of stages in the multistep problem. Let the decision-maker before making the (k + 1)th decision, k = 0, 1, …, n, perform an experiment (observation).