Info-Gap Analysis of Risk and Reliability

03 6057

Syllabus, course outline and project guidelines

Midterm exam grades.

Upcoming Lectures

(Links to lecture note files are further down on this page)

Each lecture lists sources, where IDGT refers to the book Info-Gap Decision Theory by Yakov Ben-Haim.

Lecture notes on Info-Gap Uncertainty, pp.2-12, 15-19. Source: IGDT, sections 2.1-2.3. Done.

Lecture notes on Conservation Management, or, Robustness, Expected Utility and the Sumatran Rhinoceros. Source: Helen M.Regan, Yakov Ben-Haim, Bill Landford, Will G.Wilson, Per Lundberg, Sandy J.Andelman and Mark A.Burgman, 2005, Robust decision making under severe uncertainty for conservation management, Ecological Applications, vol.15(4): 1471-1477. Done.

Lecture notes on Info-Gap Estimation and Forecasting. Source: Yakov Ben-Haim, 2005, Info-gap Decision Theory For Engineering Design. Or: Why ‘Good’ is Preferable to ‘Best’, appearing as chapter 11 in Engineering Design Reliability Handbook, Edited by Efstratios Nikolaidis, Dan M.Ghiocel and Surendra Singhal, CRC Press, Boca Raton.

  • Estimation of slope with uncertain data, pp.3-8. Related source: Yakov Ben-Haim, Info-Gap Economics, section 6.1. Done.
  • Tychonov regularization, pp.23-29. Done.
  • Estimating a pdf from data, pp.31-34. Source: IGDT section 3.2.13. Done.
  • Forecasting with an uncertain linear system, pp.35-41. Source: Yakov Ben-Haim, 2008, Info-gap forecasting and the advantage of sub-optimal models, European Journal of Operational Research, 197: 203-213. Done.

Lecture notes on Info-Gap Uncertainty: Why uncertainty models are convex, pp.26-28. Source: IGDT section 2.4. Done.

Lecture notes on the Optimizer’s Curse. Done.

Lecture notes on Robust-Satisficing Behavior. Source: IGDT chapter 11.

  • Ellsberg’s paradox, pp. 4-8. Source: IGDT section 11.1. Started.
  • Allais paradox, pp.9-14. Source: IGDT section 11.2.
  • Is Bin Laden at Abbottabad? pp.41-47.

Lecture notes on robustness and opportuneness:

  • Portfolio-like investments, pp.49-56. Source: IGDT section 3.2.7.
  • Search and evasion, pp.57-59. Source: IGDT section 3.2.9.
  • Assay design, pp.60-63. Source: IGDT section 3.2.10.
  • Choosing a sample size, pp.64-66.
  • Military effectiveness: Net assessment with WEI-WUV, pp.75-90.

Lecture Notes

Performance vs. Robustness of a Cantilever

Info-Gap Uncertainty

Robustness and opportuneness

Project management with duration uncertainty

Info-gap estimation and forecasting

Value judgment in risk assessment

Hybrid uncertainty

Robust-Satisficing Behavior

Games with Uncertain Preferences

Conservation management, or, robustness, expected utility and the Sumatran rhinoceros

Info-gap learning

Equity premium puzzle

Gambling and Risk-Sensitivity

Optimizer’s Curse

Homework

Homework problems on Robustness and Opportuneness

HW1: Choose the larger number. Do parts a and b. (ps1_rk.pdf, #10, a,b). Here’s the solution.

HW2: Embedded expected utility. Do parts a – d. (ps2-02.pdf, #32, a-d). Here’s the solution.

HW3: (1) Non-linear force deflection (ps2-02.pdf #31). (2) Estimate spring stiffness (ps2-02.pdf #38). Solution to #31 here. Solution to #38 here.

HW4: (1) Trigger mechanism (ps2-02.pdf #41). (2) Cantilever (ps2-02.pdf #42, a, b). Here are the  statements and solutions.

HW5: Random events and failure (ps2-02.pdf #70 a, c and d). Here’s the statement and solution.

HW6: Simple harmonic oscillator (ps2-02.pdf #15, a and b). Here’s the statement and solution. 

HW7: Satellite targeting (ps2-02.pdf #13). Here’s the statement and solution.

HW8: Time to recovery (ps2-02.pdf, #90, a-c). Here’s the statement and solution.

HW9: Elastic system with uncertainties (ps2-02.pdf, #92 a-d). Here’s the statement and solution.

HW10: Braking system (ps2-02.pdf, #45). Here’s the file.

HW???: Heat conduction (ps2-02.pdf #14). Here’s the file.