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arXiv 1401.3906cs.AIcs.GT
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使用概率集进行决策:更新、时间一致性和校准

Making Decisions Using Sets of Probabilities: Updating, Time Consistency, and Calibration

CWI(荷兰国家数学与计算机科学研究所);Cornell University(康奈尔大学)

Peter D Grunwald, Joseph Y Halpern

摘要:

我们考虑代理应该如何更新她的信念时,她的信念是由一组P的概率分布,代理决策使用极大极小准则,也许是最好的研究和最常用的标准在文献中。我们采用了一个博弈论的框架,代理人发挥对一个庄家,谁选择一些分布从P.我们认为两个合理的游戏,不同的庄家知道当他做出选择。之前观察到的异常现象,如时间不一致,可以理解为是因为不同的游戏正在进行,针对不同信息的博彩公司。我们的特点是重要的特殊情况下,最佳决策规则根据极大极小准则的金额要么条件或简单地忽略的信息。最后,我们考虑更新和校准之间的关系时,不确定性描述的概率集。我们的结果强调了Epstein和Schneider的矩形性条件的关键作用。

英文摘要:

We consider how an agent should update her beliefs when her beliefs are represented by a set P of probability distributions, given that the agent makes decisions using the minimax criterion, perhaps the best-studied and most commonly-used criterion in the literature. We adopt a game-theoretic framework, where the agent plays against a bookie, who chooses some distribution from P. We consider two reasonable games that differ in what the bookie knows when he makes his choice. Anomalies that have been observed before, like time inconsistency, can be understood as arising because different games are being played, against bookies with different information. We characterize the important special cases in which the optimal decision rules according to the minimax criterion amount to either conditioning or simply ignoring the information. Finally, we consider the relationship between updating and calibration when uncertainty is described by sets of probabilities. Our results emphasize the key role of the rectangularity condition of Epstein and Schneider.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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