Optimization of Additional Information Acquisition in Decision Making Problems: Main Framework

When additional information sources are available in decision making problems that allow stochastic optimization formulations, an important question is how to optimally use the information the sources are capable of providing. We propose a framework that relates information characteristics of a source to solution quality characteristics of the problem and formulate the problem of optimal information acquisition. The problem is that of minimization of the expected loss of the solution subject to (pseudo-energy) capacity constraints of the information source.