NSF grant DMS-0139911
Value of information [62C05]62C05
Is Ignorance Bliss?*
Joseph B. Kadane, Mark Schervish and Teddy Seidenfeld
"...where ignorance is bliss, 'tis folly to be wise."
If ignorance were bliss, there is information you would pay not to
have. Hence the question is whether a rationally-behaving agent would
ever do such a thing. This paper demonstrates that
1. A Bayesian agent with a proper, countably additive prior never
maximizes utility by paying not to see cost-free data.
2. The definition of "cost-free" is delicate, and requires explanation.
3. A Bayesian agent with a finitely additive prior, or an improper prior,
however, might pay not to see cost-free data.
4. An agent following a gamma-minimax strategy might also do so.
5. An agent following the strategies of E-admissibility recommended
by Levi and of maximality recommended by Sen and Walley, might
also do so.