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ciphergoth comments on Naturalism versus unbounded (or unmaximisable) utility options - Less Wrong
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An agent who only recognises finitely many utility levels doesn't have this problem. However, there's an equivalent problem for such an agent where you ask them to name a number n, and then you send them to Hell with probability 1/n and Heaven otherwise.
If it really has only finitely many utility levels, then for a sufficiently small epsilon and some even smaller delta, it will not care whether it ends up in Hell with probability epsilon or probability delta.
That's if they only recognise finitely many expected utility levels. However, such an agent is not VNM-rational.