Info-gap Decision Theory - Summary

Summary

Info-gap is a decision theory: it seeks to assist in decision-making under uncertainty. It does this by using 3 models, each of which builds on the last. One begins with a model for the situation, where some parameter or parameters are unknown. One then takes an estimate for the parameter, which is assumed to be substantially wrong, and one analyzes how sensitive the outcomes under the model are to the error in this estimate.

Uncertainty model

Starting from the estimate, an uncertainty model measures how distant other values of the parameter are from the estimate: as uncertainty increases, the set of possible values increase – if one is this uncertain in the estimate, what other parameters are possible?

Robustness/opportuneness model

Given an uncertainty model and a minimum level of desired outcome, then for each decision, how uncertain can you be and be assured achieving this minimum level? (This is called the robustness of the decision.) Conversely, given a desired windfall outcome, how uncertain must you be for this desirable outcome to be possible? (This is called the opportuneness of the decision.)

Decision-making model

To decide, one optimizes either the robustness or the opportuneness, on the basis of the robustness or opportuneness model. Given a desired minimum outcome, which decision is most robust (can stand the most uncertainty) and still give the desired outcome (the robust-satisficing action)? Alternatively, given a desired windfall outcome, which decision requires the least uncertainty for the outcome to be achievable (the opportune-windfalling action)?