David Hume lays out the foundations of decision theory in A Treatise of Human Nature (1740):

...'tis only in two senses, that any affection can be call'd unreasonable. First, when a passion, such as hope or fear, grief or joy, despair or security, is founded on the supposition of the existence of objects which really do not exist. Secondly, when in exerting any passion in action, we chuse means insufficient for the design'd end, and deceive ourselves in our judgment of causes and effects.