Function-coherent gambles

Gregory Wheeler
Proceedings of the Fourteenth International Symposium on Imprecise Probabilities: Theories and Applications, PMLR 290:285-295, 2025.

Abstract

The desirable gambles framework provides a foundational approach to imprecise probability theory but relies heavily on linear utility assumptions. This paper introduces function-coherent gambles, a generalization that accommodates non-linear utility while preserving essential rationality properties. We establish core axioms for function-coherence and prove a representation theorem that characterizes acceptable gambles through continuous linear functionals. The framework is then applied to analyze various forms of discounting in intertemporal choice, including hyperbolic, quasi-hyperbolic, scale-dependent, and state-dependent discounting. We demonstrate how these alternatives to constant-rate exponential discounting can be integrated within the function-coherent framework. This unified treatment provides theoretical foundations for modeling sophisticated patterns of time preference within the desirability paradigm, bridging a gap between normative theory and observed behavior in intertemporal decision-making under genuine uncertainty.

Cite this Paper

BibTeX
@InProceedings{pmlr-v290-wheeler25a, title = {Function-coherent gambles}, author = {Wheeler, Gregory}, booktitle = {Proceedings of the Fourteenth International Symposium on Imprecise Probabilities: Theories and Applications}, pages = {285--295}, year = {2025}, editor = {Destercke, Sébastien and Erreygers, Alexander and Nendel, Max and Riedel, Frank and Troffaes, Matthias C. M.}, volume = {290}, series = {Proceedings of Machine Learning Research}, month = {15--18 Jul}, publisher = {PMLR}, pdf = {https://raw.githubusercontent.com/mlresearch/v290/main/assets/wheeler25a/wheeler25a.pdf}, url = {https://proceedings.mlr.press/v290/wheeler25a.html}, abstract = {The desirable gambles framework provides a foundational approach to imprecise probability theory but relies heavily on linear utility assumptions. This paper introduces function-coherent gambles, a generalization that accommodates non-linear utility while preserving essential rationality properties. We establish core axioms for function-coherence and prove a representation theorem that characterizes acceptable gambles through continuous linear functionals. The framework is then applied to analyze various forms of discounting in intertemporal choice, including hyperbolic, quasi-hyperbolic, scale-dependent, and state-dependent discounting. We demonstrate how these alternatives to constant-rate exponential discounting can be integrated within the function-coherent framework. This unified treatment provides theoretical foundations for modeling sophisticated patterns of time preference within the desirability paradigm, bridging a gap between normative theory and observed behavior in intertemporal decision-making under genuine uncertainty.} }
Endnote
%0 Conference Paper %T Function-coherent gambles %A Gregory Wheeler %B Proceedings of the Fourteenth International Symposium on Imprecise Probabilities: Theories and Applications %C Proceedings of Machine Learning Research %D 2025 %E Sébastien Destercke %E Alexander Erreygers %E Max Nendel %E Frank Riedel %E Matthias C. M. Troffaes %F pmlr-v290-wheeler25a %I PMLR %P 285--295 %U https://proceedings.mlr.press/v290/wheeler25a.html %V 290 %X The desirable gambles framework provides a foundational approach to imprecise probability theory but relies heavily on linear utility assumptions. This paper introduces function-coherent gambles, a generalization that accommodates non-linear utility while preserving essential rationality properties. We establish core axioms for function-coherence and prove a representation theorem that characterizes acceptable gambles through continuous linear functionals. The framework is then applied to analyze various forms of discounting in intertemporal choice, including hyperbolic, quasi-hyperbolic, scale-dependent, and state-dependent discounting. We demonstrate how these alternatives to constant-rate exponential discounting can be integrated within the function-coherent framework. This unified treatment provides theoretical foundations for modeling sophisticated patterns of time preference within the desirability paradigm, bridging a gap between normative theory and observed behavior in intertemporal decision-making under genuine uncertainty.
APA
Wheeler, G.. (2025). Function-coherent gambles. Proceedings of the Fourteenth International Symposium on Imprecise Probabilities: Theories and Applications, in Proceedings of Machine Learning Research 290:285-295 Available from https://proceedings.mlr.press/v290/wheeler25a.html.

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