Some Aspects of the Distributional Properties of the Expected Value of Perfect Information (EVPI)
Avraham Mehrez, Alan Stulman · Journal of the Operational Research Society · 1982
In this paper we examine the Expected Value of Perfect Information (EVPI), with respect to the underlying probability distribution. By the method of optimal control theory we show that for any given second and third moments the underlying distribution that maximizes the EVPI is a 2-spike distribution. We find that shifting the distribution mean from zero will decrease the associated EVPI. The EVPI is further analyzed when the underlying distribution is symmetric, centred at zero.