Define sets \Theta\,, \mathcal{X} and \mathcal{A}, where \Theta\, are the states of nature, \mathcal{X} the possible observations, and \mathcal{A} the actions that may be taken.
Also define a loss function L: \Theta \times \mathcal{A} \rightarrow \mathbb{R}, which specifies the loss we would incur by taking action a \in \mathcal{A} when the true state of nature is \theta \in \Theta.