You are not a Bayesian homunculus whose reasoning is 'corrupted' by cognitive biases.
You just are cognitive biases.
You just are attribution substitution heuristics, evolved intuitions, and unconscious learning. These make up the 'elephant' of your mind, and atop them rides a tiny 'deliberative thinking' module that only rarely exerts itself, and almost never according to normatively correct reasoning.
You do not have the robust character you think you have, but instead are blown about by the winds of circumstance.
You do not have much cognitive access to your motivations. You are not Aristotle's 'rational animal.' You are Gazzaniga's rationalizing animal. Most of the time, your unconscious makes a decision, and then you become consciously aware of an intention to act, and then your brain invents a rationalization for the motivations behind your actions.
If an 'agent' is something that makes choices so as to maximize the fulfillment of explicit desires, given explicit beliefs, then few humans are very 'agenty' at all. You may be agenty when you guide a piece of chocolate into your mouth, but you are not very agenty when you navigate the world on a broader scale. On the scale of days or weeks, your actions result from a kludge of evolved mechanisms that are often function-specific and maladapted to your current environment. You are an adaptation-executor, not a fitness-maximizer.
Agency is rare but powerful. Homo economicus is a myth, but imagine what one of them could do if such a thing existed: a real agent with the power to reliably do things it believed would fulfill its desires. It could change its diet, work out each morning, and maximize its health and physical attractiveness. It could learn and practice body language, fashion, salesmanship, seduction, the laws of money, and domain-specific skills and win in every sphere of life without constant defeat by human hangups. It could learn networking and influence and persuasion and have large-scale effects on societies, cultures, and nations.
Even a little bit of agenty-ness will have some lasting historical impact. Think of Benjamin Franklin, Teddy Roosevelt, Bill Clinton, or Tim Ferris. Imagine what you could do if you were just a bit more agenty. That's what training in instrumental rationality is all about: transcending your kludginess to attain a bit more agenty-ness.
And, imagine what an agent could do without the limits of human hardware or software. Now that would really be something.
(This post was inspired by some conversations with Michael Vassar.)
There is a reason for this. Making choices constantly is exhausting, especially if you consider all of the possible behaviours. For me, the way to go is to choose your habits. For example: I choose not to spend money on eating out. This a) saves me money, and b) saves me from extra calories in fast food. When pictures of food on a store window tempt me, I only have to appeal to my habit of not eating out. It's barely conscious now. If I forget to pack enough food from home and I find myself hungry, and the ads unusually tempting, I make a choice to reinforce my habit by not buying food, although I am hungry and there is a cost to myself. The same goes for exercising: i maintain a habit of swimming for an hour 3 to 5 times a week, so the question "should I swim after work?" becomes no longer a willpower-draining conscious decision, but an automatic response.
If I were willing to put in the initial energy of choosing to start a new arbitrary habit, I'm pretty sure I could. As my mother has pointed out, in the past I've been able to accomplish pretty much everything I set my mind on (with the exception of becoming the youngest person to swim across Lake Ontario and getting into the military, but both of those plans failed for reasons pretty much outside my control.)