The Annals of Statistics
- Ann. Statist.
- Volume 7, Number 3 (1979), 686-690.
Expected Information as Expected Utility
The normative procedure for the design of an experiment is to select a utility function, assess the probabilities, and to choose that design of maximum expected utility. One difficulty with this view is that a scientist typically does not have, nor can be normally expected to have, a clear idea of the utility of his results. An alternative is to design an experiment to maximize the expected information to be gained from it. In this paper we show that the latter view is a special case of the former with an appropriate choice of the decision space and a reasonable constraint on the utility function. In particular, the Shannon concept of information is seen to play a more important role in experimental design than was hitherto thought possible.
Ann. Statist., Volume 7, Number 3 (1979), 686-690.
First available in Project Euclid: 12 April 2007
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Secondary: 62B15: Theory of statistical experiments 62B10: Information-theoretic topics [See also 94A17]
Bernardo, Jose M. Expected Information as Expected Utility. Ann. Statist. 7 (1979), no. 3, 686--690. doi:10.1214/aos/1176344689. https://projecteuclid.org/euclid.aos/1176344689