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A bird's view of info‐gap decision theory

A bird's view of info‐gap decision theory Purpose – The purpose of this paper is to clarify a number of important facts about info‐gap decision theory. Design/methodology/approach – Theorems are put forward to rebut claims made about info‐gap decision theory in papers published in this journal and elsewhere. Findings – Info‐gap's robustness model is a simple instance of the most famous model in classical decision theory for the treatment of decision problems subject to severe uncertainty, namely Wald's maximin model. This simple instance is the equivalent of the well‐established model known universally as radius of stability. Info‐gap's robustness model has an inherent local orientation. Therefore, it is in principle unable to address the fundamental difficulties presented by the type of severe uncertainty that is postulated by info‐gap decision theory. Practical implications – These findings caution against accepting the assertions made in the info‐gap literature about: info‐gap decision theory's role and place in decision making under severe uncertainty; and its ability to model, analyze, and manage severe uncertainty. Originality/value – This paper exposes the serious difficulties with claims made in papers published in this journal and elsewhere regarding the place and role of info‐gap decision theory in decision theory and its ability to handle severe uncertainty. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Risk Finance Emerald Publishing

A bird's view of info‐gap decision theory

Moshe Sniedovich
The Journal of Risk Finance , Volume 11 (3): 16 – May 25, 2010
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References (33)

Publisher
Emerald Publishing
Copyright
Copyright © 2010 Emerald Group Publishing Limited. All rights reserved.
ISSN
1526-5943
DOI
10.1108/15265941011043648
Publisher site
See Article on Publisher Site

Abstract

Purpose – The purpose of this paper is to clarify a number of important facts about info‐gap decision theory. Design/methodology/approach – Theorems are put forward to rebut claims made about info‐gap decision theory in papers published in this journal and elsewhere. Findings – Info‐gap's robustness model is a simple instance of the most famous model in classical decision theory for the treatment of decision problems subject to severe uncertainty, namely Wald's maximin model. This simple instance is the equivalent of the well‐established model known universally as radius of stability. Info‐gap's robustness model has an inherent local orientation. Therefore, it is in principle unable to address the fundamental difficulties presented by the type of severe uncertainty that is postulated by info‐gap decision theory. Practical implications – These findings caution against accepting the assertions made in the info‐gap literature about: info‐gap decision theory's role and place in decision making under severe uncertainty; and its ability to model, analyze, and manage severe uncertainty. Originality/value – This paper exposes the serious difficulties with claims made in papers published in this journal and elsewhere regarding the place and role of info‐gap decision theory in decision theory and its ability to handle severe uncertainty.

Journal

The Journal of Risk Finance – Emerald Publishing

Published: May 25, 2010

Keywords: Decision making; Uncertainty management; Decision theory

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