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Bayes Decision Rule


The Bayes decision rule chooses an action, meaning one of the decisions available to a decision maker, that minimizes the expected value of a loss function with respect to the posterior distribution. If a is an action, theta is the unknown state, L(a,theta) is the loss, and pi(theta|x) is the posterior distribution after observing x, the Bayes action minimizes the posterior risk

 rho(a|x)=intL(a,theta)pi(theta|x)dtheta.

For classification with the zero-one loss function, which assigns loss 0 to a correct result and loss 1 to an incorrect result, the rule chooses the class having the largest probability under the posterior distribution.


See also

Bayes Classifier, Bayes' Theorem, Decision Theory, Loss Function, Posterior Distribution, Posterior Risk

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References

Berger, J. O. Statistical Decision Theory and Bayesian Analysis, 2nd ed. New York: Springer-Verlag, 1985.

Cite this as:

Weisstein, Eric W. "Bayes Decision Rule." From MathWorld--A Wolfram Resource. https://mathworld.wolfram.com/BayesDecisionRule.html

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