Department of Mathematics and Statistics, The University of Melbourne, Melbourne, VIC 3010, Australia.
Risk Anal. 2012 Oct;32(10):1630-7. doi: 10.1111/j.1539-6924.2011.01772.x. Epub 2012 Mar 2.
One would have expected the considerable public debate created by Nassim Taleb's two best selling books on uncertainty, Fooled by Randomness and The Black Swan, to inspire greater caution to the fundamental difficulties posed by severe uncertainty. Yet, methodologies exhibiting an incautious approach to uncertainty have been proposed recently in a range of publications. So, the objective of this short note is to call attention to a prime example of an incautious approach to severe uncertainty that is manifested in the proposition to use the concept radius of stability as a measure of robustness against severe uncertainty. The central proposition of this approach, which is exemplified in info-gap decision theory, is this: use a simple radius of stability model to analyze and manage a severe uncertainty that is characterized by a vast uncertainty space, a poor point estimate, and a likelihood-free quantification of uncertainty. This short discussion serves then as a reminder that the generic radius of stability model is a model of local robustness. It is, therefore, utterly unsuitable for the treatment of severe uncertainty when the latter is characterized by a poor estimate of the parameter of interest, a vast uncertainty space, and a likelihood-free quantification of uncertainty.
人们原本会期望纳西姆·塔勒布（Nassim Taleb）关于不确定性的两本畅销书《随机致富的傻瓜》和《黑天鹅》所引发的大量公众辩论，会促使人们对严重不确定性所带来的基本困难更加谨慎。然而，最近在一系列出版物中提出了一些表现出对不确定性的轻率态度的方法。因此，这篇短文的目的是引起人们对一种轻率处理严重不确定性的主要范例的关注，这种范例体现在提出使用稳定性半径的概念作为衡量对严重不确定性的稳健性的度量标准。这种方法的核心主张，以信息差距决策理论为例，是这样的：使用简单的稳定性半径模型来分析和管理严重不确定性，这种不确定性的特点是不确定性空间巨大、点估计较差，以及对不确定性的可能性进行无限制的量化。因此，当后者的特点是感兴趣的参数估计较差、不确定性空间巨大以及对不确定性的可能性进行无限制的量化时，通用的稳定性半径模型是局部稳健性的模型，完全不适合处理严重不确定性。
