Value of information in the Polya urn process

DOI10.1016/S0020-0255(02)00210-4MaRDI QIDQ1857038zbMATH OpenOpenAlexFDO

Authors Clyde Martin, Yu-Chi Ho

Publication date 11 February 2003

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0020-0255(02)00210-4

zbMATH Keywords

decision problem

Mathematics Subject Classification ID

Combinatorial probability (60C05) Probabilistic games; gambling (91A60)

Review text

Several one-person games based on the Polya urn are considered. Typically the authors consider a decision problem, and a variant of this decision problem where the player has, in addition, some information available. The value of information is then defined as: the expected utility of optimally solving the decision problem with the information, minus the expected utility of optimally solving the decision problem without the information. The authors nicely compute several values. In several cases, additionnal information will not affect the betting strategy of the player.

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Cited in

(5)

• Games with finite resources
• Asymptotic theorems of sequential estimation-adjusted urn models
• First-passage properties of the Pólya urn process
• Data age and information value: a Polya process
• Asymptotic properties of multicolor randomly reinforced Pólya urns

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