Nonlinear desirability as a linear classification problem

Abstract

This paper presents an interpretation as classification problem for standard desirability and other instances of nonlinear desirability (convex coherence and positive additive coherence). In particular, we analyze different sets of rationality axioms and, for each one of them, we show that proving that a subject respects these axioms on the basis of a finite set of acceptable and a finite set of rejectable gambles can be reformulated as a binary classification problem where the family of classifiers used changes with the axioms considered. Moreover, by borrowing ideas from machine learning, we show the possibility of defining a feature mapping, which allows us to reformulate the above nonlinear classification problems as linear ones in higher-dimensional spaces. This allows us to interpret gambles directly as payoffs vectors of monetary lotteries, as well as to provide a practical tool to check the rationality of an agent.