In what sense is Info-Gaps robustness model inherently local?
Answer-13: Info-Gap’s robustness model is inherently local in the accepted meaning of this term (eg. optimization). It defines robustness in reference to the performance of decisions in the neighborhood of the estimate û. This means that, methodologically, the analysis makes no attempt to investigate how the performance requirement fares outside the estimate’s neighborhood. The analysis probes away from the estimate no further than the violation of the performance requirement allows. This is a direct consequence of the nesting property of the regions of uncertainty. If the performance requirement is violated at some point u’ in U(α’,û) for some α’≥0, then the nesting property implies that for any α≥α’ the requirement is also violated at some point in U(α,û).
