LSE OPERATIONAL RESEARCH DEPARTMENT: RESEARCH SEMINAR
Wednesday June 13, 2001, 5.00pm - 6.00pm
Room S221, St Clement's building: see
http://www.lse.ac.uk/School/maps/map1.htm and
http://www.lse.ac.uk/School/maps/map3.htm
"Info-gap decision theory: applications in economics and management"
Yakov Ben-Haim, Technion --- Israel Institute of Technology
Decision-makers often face a severe lack of information. In this talk we
discuss a non-probabilistic paradigm of uncertainty which quantifies the
information gap between what is known, and what needs to be known for an
optimal decision. These "info-gap" models of uncertainty underlie a
decision procedure which is particularly suited to extremely unstructured
and deficient information.
We begin with a brief discussion of the axiomatic distinction between
probability and the info-gap perception of uncertainty.
We then formulate the basic decision functions of info-gap decision theory:
- Robustness function: protection against adverse uncertainty.
- Opportunity function: exploitation of propitious uncertainty.
We consider applications in planning of multi-task projects with uncertainty
in task durations, and micro-economic decisions under uncertainty.
Finally, we explain a "gambler's theorem" which leads to a non-probabilistic
concept of risk aversion based on info-gap models of uncertainty.
*( Refreshments after the seminar in the Operational Research Department ) *
A printable version of this notice is attached.
<<sem130601.doc>>
Dr Peter Sozou
Department of Operational Research
London School of Economics
Houghton Street, London WC2A 2AE
tel: 020 7955-6234(direct) / 7955-7653(admin)
fax: 020 7955-6885 email: [log in to unmask]
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