So, can we steelman the claims that expected utility theory is wrong? Can we find a decision procedure which is consistent with the Peters’ general idea, but isn’t just log-wealth maximization?
Yes. As I’ve pointed out before, a lot of these problems go away if you simply solve the actual problem instead of a pseudo-problem. Decision theory, and Bayesian decision theory, has no problem with multi-step processes, like POMDPs/MDPs—or at least, I have yet to see anyone explain what, if anything, of Peters/Taleb’s ‘criticisms’ of expected-value goes away if you actually solve the corresponding MDP. (Bellman did it better 70 years ago.)
FWIW, I remain pretty firmly in the expected-utility camp; but I’m quite interested in looking for cracks around the edges, and exploring possibilities.
I agree that there’s no inherent decision-theory issue with multi-step problems (except for the intricacies of tiling issues!).
However, the behavior of Bayesian agents with utility linear in money, on the Kelly-betting-style iterated investment game, for high number of iterations, seems viscerally wrong. I can respect treating it as a decision-theoretic counterexample, and looking for decision theories which don’t “make that mistake”. I’m interested in seeing what the proposals look like.
Yes. As I’ve pointed out before, a lot of these problems go away if you simply solve the actual problem instead of a pseudo-problem. Decision theory, and Bayesian decision theory, has no problem with multi-step processes, like POMDPs/MDPs—or at least, I have yet to see anyone explain what, if anything, of Peters/Taleb’s ‘criticisms’ of expected-value goes away if you actually solve the corresponding MDP. (Bellman did it better 70 years ago.)
I like the “Bellman did it better” retort ;p
FWIW, I remain pretty firmly in the expected-utility camp; but I’m quite interested in looking for cracks around the edges, and exploring possibilities.
I agree that there’s no inherent decision-theory issue with multi-step problems (except for the intricacies of tiling issues!).
However, the behavior of Bayesian agents with utility linear in money, on the Kelly-betting-style iterated investment game, for high number of iterations, seems viscerally wrong. I can respect treating it as a decision-theoretic counterexample, and looking for decision theories which don’t “make that mistake”. I’m interested in seeing what the proposals look like.