Bayesian Inference and Decision Making

The Bayesian method: A formalism for decision making under uncertainty in which:



• Probabilistic information is fully known.
• Given the probabilities we act optimally.
• When new evidences are obtained we optimally incorporate them and refine our decisions functions.

• Consider the following game:

  • There is a cost matrix:
    where,
    are actions
    are states of nature

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