Information evaluation under nonadditive expected utility

We examine the choice-of-single-stage-experiment problem (Raiffa and Schlaifer, 1961) under the assumption that the decider's (weak) preference relation satisfies Schmeidler's (1989) or Gilboa's (1987) axiomatization and is thus representable by a nonadditive expected-utility functional as a Choquet integral w.r.t. a monotone probability measure on events. The basic properties of information value, certainty equivalent of information cost, net gain of information, and optimal choice of experiment that obtain (La Valle, 1968) when satisfies the Anscombe-Aumann (1963) or Savage (1954) axiomatizations continue to obtain in the more general Schmeidler-Gilboa context-provided that there is no incentive to randomize the choice of experiment. When this proviso fails, information value can in general be assigned only to the set of available experiments.