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The art and science of modeling decision-making under severe uncertainty. (English) Zbl 1231.90243

Summary: For obvious reasons, models for decision-making under severe uncertainty are austere. Simply put, there is precious little to work with under these conditions. This fact highlights the great importance of utilizing in such cases the ingredients of the mathematical model to the fullest extent, which in turn brings under the spotlight the art of mathematical modeling. In this discussion we examine some of the subtle considerations that are called for in the mathematical modeling of decision-making under severe uncertainty in general, and worst-case analysis in particular. As a case study we discuss the lessons learnt on this front from the info-gap experience.

MSC:

90B50 Management decision making, including multiple objectives
91B06 Decision theory
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