Acquisition of Costly Information in Data-Driven Decision Making
| Author: | Mgr. Lukáš Janásek |
|---|---|
| Year: | 2021 - summer |
| Leaders: | doc. PhDr. Jozef Baruník Ph.D. |
| Consultants: | |
| Work type: | Economic Theory Masters |
| Language: | English |
| Pages: | 101 |
| Awards and prizes: | Nomination Deloitte Outstanding Thesis Award. |
| Link: | https://ckis.cuni.cz:443/F/?func=direct&doc_number=002449051&local_base=CKS01&format=999 |
| Abstract: | This thesis formulates and solves an economic decision problem of the acquisition of costly information in data-driven decision making. The thesis assumes an agent predicting a random variable utilizing several costly explanatory variables. Prior to the decision making, the agent learns about the relationship between the random variables utilizing its past realizations. During the decision making, the agent decides what costly variables to acquire and predicts using the acquired variables. The agent’s utility consists of the correctness of the prediction and the costs of the acquired variables. To solve the decision problem, the thesis divides the decision process into two parts: acquisition of variables and prediction using the acquired variables. For the prediction, the thesis presents a novel approach for training a single predictive model accepting any combination of acquired variables. For the acquisition, the thesis presents two novel methods using supervised machine learning models: a backward estimation of the expected utility of each variable and a greedy acquisition of variables based on a myopic increase in the expected utility of variables. Next, the thesis formulates the decision problem as a Markov decision process which allows approximating the optimal acquisition via deep reinforcement learning methods. The thesis suggests a novel formulation of reward for the training as a net utility gain of the acquired variable. The thesis evaluates selected methods on two medical datasets. The results show that the methods acquire the costly variables efficiently. |
