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Which textbook would you recommend to learn decision theory?

by supermartingale 1 min read29th Jan 20196 comments

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Eliezer talks a lot about decision theory in his sequences, e.g. the Aumann agreement theorem or the von Neumann-Morgenstern utility theorem. From what I've seen so far, decision theory looks extremely interesting.

Which textbook in decision theory would you recommend to start with? I'd appreciate if the book contained not only theory, but also some exercise/problem section - I have noticed that usually a lecture is not enough to fully grasp a topic. I want a book which will not shy away from mathematical side of the theory.

I have a strong background in mathematics and computer science, but I only know a little about game theory.

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LessWrong also has a textbook repository which contain recommendation on various subjects. Ctrl+F "decision theory" turns up 6-7 books or so.

An Introduction to Decision Theory by Martin Peterson is a good first introduction to the fundamental principles of decision theory as well as the strengths and weaknesses of causal vs evidential decision theory (it doesn't get into the more exotic theories, although it does contain a chapter on social choice).

It also contains exercises to ensure basic mastery of the concepts, but only assumes a background of algebra and probability.