Putting value of information theory into practice: a methodology for building sequential decision support systems

The paper presents a methodology for building sequential decision support systems based on decision theory using value of information (for short, DT-VOI based SDSSs). DT-VOI based SDSSs support decision-makers in difficult problems of sequential decision-making. In particular we consider the problem of building DT-VOI based SDSSs which are capable of supporting decisions in critical situations where (1) making a decision entails knowing the states of some critical hypotheses, and such knowledge is acquired by performing suitable tests; (2) test outcomes are uncertain; (3) performing a test entails, in general, some drawbacks, so that a trade-off exists between such drawbacks and the value of the information provided by the test; (4) performing a test has the side-effect that it changes the expected benefit from performing other tests; (5) exceptional situations alter probability and utility default values.