Re:Making better decisions with the Brier score
by tlb on Monday June 07, 2021 @03:34AM
(#27420024)
It's appropriate when the cost of false-positive and false-negative errors are the same. Which isn't common in the real world.
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More generally, if one views probability as separate from the utility of the outcome it's attached to, one is bound to make bad decisions.
Real decision problems contain a lot of nonlinearities if decomposed the wrong way. The only way to decompose it is as a linear combination of probability and utility (because the utility swallows the nonlinearities). But for each component both probability and utility matters in determining the overall value of the decision.