Implementing Resolute Choice Under Uncertainty

Abstract: The adaptation to situations of sequential choice under uncertainty of decision criteria which deviate from (subjective) expected utility raises the problem of ensuring the selection of a nondominated strategy. In particular, when following the suggestion of Machina and McClennen of giving up separability (also known as consequentialism), which requires the choice of a substrategy in a subtree to depend only on data relevant to that subtree, one must renounce to the use of dynamic programming, since Bellman's principle is no longer valid. An interpretation of McClennen's resolute choice, based on cooperation between the successive Selves of the decision maker, is proposed. Implementations of resolute choice which prevent Money Pumps negative prices of information or, more generally, choices of dominated strategies, while remaining computationally tractable, are proposed.