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Expected value of sample information


In decision theory, the expected value of sample information (EVSI) is the expected increase in utility that a decision-maker could obtain from gaining access to a sample of additional observations before making a decision. The additional information obtained from the sample may allow them to make a more informed, and thus better, decision, thus resulting in an increase in expected utility. EVSI attempts to estimate what this improvement would be before seeing actual sample data; hence, EVSI is a form of what is known as preposterior analysis.

Let

It is common (but not essential) in EVSI scenarios for , and , which is to say that each observation is an unbiased sensor reading of the underlying state , with each sensor reading being independent and identically distributed.


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