The value of information from multiple sources of uncertainty in decision analysis

The value of information from multiple sources of uncertainty in decision analysis

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Article ID: iaor19881151
Country: Netherlands
Volume: 39
Issue: 3
Start Page Number: 254
End Page Number: 260
Publication Date: Apr 1989
Journal: European Journal of Operational Research
Authors: , ,
Keywords: decision
Abstract:

In decision analysis, the expected value of information is a well known and used concept, where the value of information about sources of uncertainty are normally considered one at a time. When information is potentially available for more than one source of uncertainty in a decision problem and the decision maker must choose which sets of information to acquire, the nonlinearities and discontinuities which are inherent to the problem result in general non-additivity of information values. Additivity of the expected value of perfect information (EVPI) occurs only under certain conditions, and for a large proportion of decision problems, EVPIs are not even approximately additive. This paper presents an analysis of this class of problem, some fundamental results, practical implications and delineates a number of useful directions for further research.

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