Value of Information under Imprecise Probabilities: Decision-Rule-Specific Values and Fixed-Measure Envelopes on a Credal Set

Value-of-information (VOI) analysis is usually conducted under a single probability measure.

However, in practice, the available evidence often pins the measure down only to a set.

Consequently, under a set of probability measures, VOI requires different formulations.

First, we explicate a rule-specific VOI that fixes a decision rule for acting under imprecision (such as Gamma-maximin) and measures what the information is worth to a decision maker who uses that rule.

Second, we derive a fixed-measure envelope that evaluates the classical VOI functional over all admissible precise measures.

We formalize this distinction and explicate its consequences for the expected perfect, partial, and sample information.

The expected value of perfect information is concave over the credal set.

Hence, when the set is generated by finitely many measures, its lower envelope endpoint is obtained exactly from the generators, while its upper endpoint may be interior and is computed by a finite linear program.

The Gamma-maximin value, in contrast, can exceed the entire envelope, so a rule-specific value is not recovered from the envelope's endpoints.

A continuity bound limits how much the VOI can change as the measure varies, and we identify when the partial- and sample-information endpoints can still be obtained from the generators.

Because the single-measure VOI must itself be estimated, the procedure we give combines standard estimators for it with a search over the credal set.

By using a worked decision problem, we show how the two quantities separate conclusions that hold across every admissible measure from conclusions that depend on one unidentified choice of measure.