We are concerned in this paper with the trade-offs which confront a decision maker who deals with severely deficient information and unstructured uncertainty. We employ the theory of info-gap uncertainty, described briefly in Section 2. Using info-gap models of uncertainty we derive two decision functions which express (1) immunity to failure (robustness function) and (2) immunity to windfall gain (opportunity function). These immunity functions are discussed in Section 3. In this paper we will consider three types of trade-offs: robustness vs. reward, certainty vs. windfall, and opportunity vs. robustness. These are described succintly in Section 3 and illustrated with an example in Section 4. In Section 5 we briefly mention three methods for combining info-gap and probabilistic models of uncertainty.
Keywords. Information-gap uncertainty, decisions under uncertainty, trade-offs
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Authors addresses:
Faculty of Mechanical Engineering
Technion
Haifa 32000
Israel
E-mail addresses:
| Yakov Ben-Haim | yakov@aluf.technion.ac.il |