Information Acquisition with $\alpha$-Divergence Costs (opens in new tab)

Building on the $f$-information model of Bloedel et al. (2025), this paper introduces a one-parameter family of information acquisition models that extends the mutual information model (Mat\v{e}jka and McKay, 2015) while preserving its analytical tractability, and characterizes optimal information acquisition. The information cost is derived from the $\alpha$-divergence and represented in closed form via the $\alpha$-integration of Amari (2007),...