Robust Aggregation of Correlated Information

Understand

An agent makes decisions based on multiple sources of information.

• In isolation, each source is well understood, but their correlation is unknown.
• We study the agent's robustly optimal strategies -- those that give the best possible guaranteed payoff, even under the worst possible correlation.
• With two states and two actions, we show that a robustly optimal strategy uses a single information source, ignoring all others.