Is savage's independence axiom a universal rationality principle?
Michèle D. Cohen, Jean‐Yves Jaffray · Systems Research and Behavioral Science · 1988
Observations of decision making of single human beings have shown the existence of frequent violations of Savage's independence axiom (the Allais and Ellsberg paradoxes). It is suggested that these violations result from the fact that under some situations of choice under uncertainty the independence axiom is necessarily violated by rational decision makers, which prevents them in all cases from including compliance with this axiom as a goal. By considering situations of partial ignorance and defining rational behavior in these situations as respecting both universal principles and rules specific to the particular situation encountered, necessary violations of Savage's axiom by all decision makers are exhibited. Thus the claim to universal observance of this axiom is denied and the explanation of violations by its simply being discarded as a goal is supported.