What exactly is behind Info-Gaps claim that decisions designed solely to optimize performance have no robustness?
Answer-68: Mostly rhetoric. Info-Gap decision theory advances the view that under conditions of severe uncertainty maximizing the robustness of decisions is superior to maximizing the “reward” yielded by them. So as might be expected, when two decisions are compared, one that maximizes reward and another that maximizes robustness, the former may not necessarily be robust according to Info-Gap’s definition of robustness. Of course, one can argue that the decision that maximizes robustness does not necessarily generate a good level of “reward”. But this is hardly surprising: If x is an optimal solution to Problem A and y is an optimal solution to Problem B then we neither expect x to be a good solution to Problem B, nor y to be a good solution to Problem A. And why should we? After all, we compare the performance of solutions obtained for two different problems!
