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Vladimir_Nesov comments on Naturalism versus unbounded (or unmaximisable) utility options - Less Wrong
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The point might be that if all infinite expected utility outcomes are considered equally valuable, it doesn't matter which strategy you follow, so long as you reach infinite expected utility, and if that includes the strategy of doing nothing in particular, all games become irrelevant.
If you don't like comparing infinite expected outcomes (ie if you don't think that (utility) St Petersburg + $1 is better than simply St Petersburg), then just focus on the third problem, which Wei has oddly rejected.
I've often stated my worry that Omega can be used to express problems that have no real-world counterpart, thus distracting our attention away from problems that actually need to be solved. As I stated at the top of this thread, it seems to me that your third problem is such a problem.