# Questions tagged [decision-theory]

Decision theory is the science of making optimal decisions in the face of uncertainty. Statistical decision theory is concerned with the making of decisions when in the presence of statistical knowledge (data) which sheds light on some of the uncertainties involved in the decision problem.

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48 views

### Select the best random variable [closed]

Let's assume I am offered to keep one of three slot machines, each with unknown and unique reward distributions. Each machine can output a -1, 0 or a 1 after each try. Given the following collected ...
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### Why do we need the concept of Risk in Bayesian Decision theory?

I'm studying Bayesian decision theory as introduction to machine learning and I see the concept of Risk in a lot of places. In the course I read, they define risk as: Risk is the expected error ...
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### How to interpret the results of the DCA curve?

I have a large sample of data, but only a small number of people have an event. I want to use a certain indicator to predict the occurrence of the event, but when I draw the DCA curve, I found a ...
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### Summarization and resources for Bayesian decision theory

Looking for textbooks and/or resources to get familiar with Bayesian decision making. I have the book, Statistical Rethinking, by Richard McElreath and I've found this to be a really great resource ...
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### Bayes Risk Not Connected to Observed Data

It puzzles me that the Bayes risk seems not connected to the observed data. Let me illustrate this with an example. Let a coin toss follow a Bernoulli distribution with a hidden parameter $\theta$ and ...
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### Multiple hypothesis testing: lower bound for sample complexity of finding the different one

We have $m$ distributions $D_1,\dots,D_m$. We know that $m-1$ of them are $\mathcal{N}(\epsilon,\sigma^2)$ ($\epsilon>0$) and one of them is $\mathcal{N}(0,\sigma^2)$, but we don't know which one ...
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### Is a constant ever inadmissible?

For now, assume square loss. Let's estimate some parameter $\theta$, such as $\theta = \mu$ in $N(\mu, 1)$. Is there ever a case where there is no such $c$ to make $\hat{\theta} = c$ an admissible ...
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### Decision Theory: Why is it called a "least favorable prior"?

I'm currently reading the chapter on Statistical Decision Theory in Larry Wasserman's "All of Statistics". Reading the section 13.4 about Minimax Rules he introduces the so called Least ...
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### How is the threshold parameter practically selected for Scikit learn's decision tree algorithm and how to determine depth of tree?

I am referring to the so-called optimized CART algorithm that is explained on Scikit learn's website: https://scikit-learn.org/stable/modules/tree.html#mathematical-formulation I would appreciate if ...
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### Random forest that aggregates by taking the maximum over the trees instead of taking the average

I want to make a Random forest that aggregates by taking the maximum over the decision trees instead of taking the average. By default Sklearn is taking the average, and I couldn't find how to change ...
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### Better methodologies to make causal recommendations from correlated data?

I work as a data scientist at a SAAS company. We have an outcome variable, Y, that we consider "success" for our customers. We have a bunch of additional outcome variables X1, X2, X3 that ...
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### How can I determine the overall best algorithm from a set of algorithms given pairwise probabilities?

I am working on an evaluation of algorithms from a specific family of feature-selection algorithms. Using the Bayesian hierarchical correlated t-test, I evaluated each pair of algorithms to obtain the ...
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### Maximising the utility when I have a large number of discrete decisions mixed with continuous decisions

I have an optimisation problem which is potentially quite tricky. Consider the problem of allocating a discrete number of resources (in my case, they are spare mechanical components for a large ...
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### Repeated Multi-armed bandit trails of pure exploration: Bernoulli arms

I'm interested in analyzing a variant of the multi-armed bandit problem with pure exploration. In this variant, in each round we receive samples from two distributions and we need to estimate which ...
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### Bayes classifier expected classification error for multiclass case

Assume a feature $x \in [a,b]$ and two classes $\omega_1, \omega_2$ with prior probabilities $P(\omega_1), P(\omega_2)$ and likelihood functions $p(x | \omega_1), p(x | \omega_2)$. Then, the expected ...
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### Checking whether Brier score is a strictly proper scoring rule

I want to check whether Brier Score is a strictly proper scoring rule based on some definition I found here. Since the paper is behind a paywall, I provide the definition here: A scoring rule assigns ...
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### Bayesian Decision making with a mixed effects model

Background A company runs an AB test in which the unit of randomization (the customer) can interact with the variant several times throughout the experiment. The outcome is a binomial random variable ...
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### Decision tree: how you would expect the next split based on a set of variables?

I'm trying to understand the logic behind a question I was given during a mock test. Can somebody help me please? I am not sure I can understand the concept, hence be able to make it right in a ...
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### Loss functions in statistical decision theory vs. machine learning?

I'm quite familiar with loss functions in machine learning, but am struggling to connect them to loss functions in statistical decision theory . In machine learning, a loss function is usually only ...
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### Why we use squared probabilities in the gini impurity

Why we are using squared probabilities instead of normal probabilities in gini impurity . Probabilities will always be positive , so why to square those ? Any leads would be highly apriciated , ...
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### How do decision trees in random forests handle conflicts?

Let's say our input elements (training data) are 6 people with three attributes, Height, Weight, and Gender, and we are predicting if that person will have cancer or not (boolean 0 or 1). Let's say we ...
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### Measuring the confidence of a softmax classification outcome

Suppose I have a softmax distribution produced by a classifier. There are four labels, and so the sum of the softmax probabilities over the four labels will be 1.0. I am looking for a measurement of ...
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### How to quantify intangible costs for decision making

In many situations, decision-making requires weighing multiple losses. For example, you might determine the optimal threshold for a churn classification problem by comparing the cost of offering a ...
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### Ordering list of items by two criteria

I have a list of items with two scores: scoreA and scoreB. To be more specific they represent the average of a list of accuracy scores and their maximum. Both of the scores range from 0 to 100%. I'm ...
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### What is the best strategy for the simplified version of the multi-armed bandit?

Consider a simplified version of the multi-armed bandit problem, where: like in the standard multi-armed bandit: when you pull the lever of 1 bandit you win/lose some amount from that bandit ...