Mechanical Systems and Signal Processing (2001) 15(3), 457}474

doi:10.1006/mssp.2000.1377, available online at http://www.idealibrary.com on

INFO-GAP VALUE OF INFORMATION IN MODEL
UPDATING
YAKOV BEN-HAIM
Faculty of Mechanical Engineering, Technion~Israel Institute of Technology,
Haifa 32000, Israel. E-mail: yakov@aluf.technion.ac.il
(Received 31 October 1999, accepted 30 November 2000)
Information is the complement of uncertainty, so model updating*which is a process of
acquiring information*entails the reduction of uncertainty. We concentrate on severe
uncertainty quanti"ed with information-gap uncertainty models, so updating focusses on
the improvement of info-gap models of uncertainty. Our main e!ort is to show how model
updating can be evaluated in terms of the performance of the system itself. The central tool
in this evaluation is the robustness function, whose value expresses the greatest level of
info-gap uncertainty consistent with successful performance. A theorem establishes an
irrevocable trade-o! between robustness and reward (with "xed information). The demand
value of an increment of information is the increment of improvement in performance
(or reward) which the system can achieve without su!ering a loss of robustness, in exchange
for applying the information. The demand value of an increment of information is evaluated
by comparing the robustness trade-o! curves before and after updating. The second theorem
introduces an idea of the &informativeness' of an info-gap model of uncertainty in terms of set
inclusion: an uncertainty model is informative to the degree that it more tightly delimits the
range of unknown variation. The main implication of the theorem is that information is
universally valuable only when it satis"es the set-inclusion criterion. We consider three
examples which illustrate the evaluation of the demand value of information. The import-
ance of establishing the comparability of the info-gap models is stressed. It is explained that
the demand value can be evaluated either as an a priori estimate of the potential value of
information which is not yet in hand, or as an a posteriori assessment of information which
has been acquired.
2001 Academic Press
1. INTRODUCTION
Information is a commodity and, like all other commodities, we buy information in many
forms, including newspapers, espionage, college degrees and, of course, the updating of
mathematical models of technological systems. But information di!ers in fundamental ways
from all material commodities. The most peculiar feature of information is that, while it
can go stale and thus lose its value, it is not used up when consumed. Information has
a permanence and accessibility and, sometimes, an ease of communicability, which belie the
tremendous cost which is often paid for information, and which bedevil attempts to quantify
its worth.
In this paper, we explore an economic (though not necessarily monetary) model of the
value of information in technological model updating. The basic question we ask is: what is
the worth of information? More speci"cally, what is the value of the information needed to
reduce our uncertainty about the model of a system? More directly still, by how much can
one con"dently demand better performance from the system as a result of acquiring new
information and thereby reducing uncertainty?
0888}3270/01/030457#18 $35.00/0 2001 Academic Press
This last question carries the seeds of the answer we will develop. Namely, viewing model
updating as a process whereby uncertainty is reduced, how do we assess the value of
information in the same units by which the system performance is evaluated?
In Section 2, we describe information-gap models of uncertainty which quantify uncer-
tainty as a disparity between what is known and what can be known. We formulate the
robustness function which assesses the greatest info-gap uncertainty consistent with accept-
able performance and discuss the trade-o! between robustness and reward. In Section 3, we
formulate a concept of the demand value of information as the increment of improved
performance accruing from an increment in information. We show that only when the
information is ranked in a set-inclusion sense is the information universally valuable. In
Sections 4}6 we discuss three examples.
2. INFO-GAP MODELS AND DECISIONS
2.1. INFO-GAP MODELS OF UNCERTAINTY
Our quanti"cation of uncertainty is based on non-probabilistic information-gap models.
An info-gap model is a family of nested sets. Each set corresponds to a particular degree of
uncertainty, according to its level of nesting. Each element in a set represents a possible
realisation of the uncertain event. Info-gap models, and especially convex-set models of
uncertainty, have been described elsewhere, both technically [1] and axiomatically [2].
Uncertain quantities are vectors or vector functions. Uncertainty is expressed at two
levels by info-gap models. For "xed :, the set U(:, uJ) represents a degree of uncertain
variability of the uncertain quantity u around the centrepoint uJ. The greater the value of :,
the greater the range of possible variation, so : is called the uncertainty parameter and
expresses the information gap between what is known (uJ and the structure of the sets) and
what needs to be known for an ideal solution (the exact value of u). The value of : is usually
unknown, which constitutes the second level of uncertainty: the horizon of uncertain
variation is unbounded.
Let R denote the non-negative real numbers and let S be a Banach space in which the
uncertain quantities u are de"ned. An info-gap model U(:, uJ) is a map from R;Sinto the
power set of S.
The basic axiom, which characterises the representation of uncertainty by info-gap
models, is that the sets of an info-gap model are nested by the uncertainty parameter ::
U(:, uJ) -U(:', uJ ) if :):'. (1)
In many applications it is found that the relevant info-gap models obey speci"c structural
axioms. The most common structural axioms are [2]:
Contraction: U(0, 0) is a singleton set containing its centrepoint:
U(0, 0)"0. (2)
ranslation: U(:, uJ) is obtained by shifting U(:, 0) from the origin to uJ:
U(:, uJ)"U(:, 0)#uJ (3)
where U#uJ means that uJ is added to each element of U.
inear expansion: info-gap models centred at the origin expand linearly:
U([, 0)"
[
:
U(:, 0) for all :, ['0 (4)
where ([/:)U means that [/: multiplies each element of U.
458 Y. BEN-HAIM
In some situations the linear expansion axiom is altered to include non-linear expansion
properties [3].
2.2. INFO-GAP DECISIONS AND THE ROBUSTNESS FUNCTION
Let the vector q represent the decision-maker's decisions or actions, which incur a conse-
quence depending upon q and upon an uncertain vector or vector function u belonging to
an info-gap model U(:, uJ). The decision-maker knows a scalar reward function, R(q, u),
which could be used, together with uJ, to maximise the nominal reward. The reward function
R(q, u) must be construed very broadly, and can represent a performance requirement in
vibrational analysis or other engineering design problems [4], or an economic or manage-
rial goal [5]. R need not be a von Neumann}Morgenstern utility function. R is de"ned very
generally in [6].
The decision theory developed in this paper is utterly di!erent from von
Neumann}Morgenstern game theory [7]. Foremost among the distinctions is that the
present theory does not depend on probabilistic information of any sort. Info-gap theory is
particularly suited to highly unstructured uncertainty and severe lack of information.
Furthermore, info-gap theory is not vulnerable to the di$culties which arise in von
Neumann}Morgenstern theory due to its axiom of linear independence. In particular Allais
and Ellsberg &paradoxes' [8] are avoided in info-gap theory.
The robustness is the greatest value of the uncertainty parameter for which the perfor-
mance is &acceptable'. In terms of the scalar reward function, &acceptability' is de"ned in one
of the two ways: either R is no less than a lowest acceptable value, or R is no greater than
a greatest acceptable value. In other words, desirable values of R are either small or large,
depending on the application, and &acceptability' means that R is su$ciently small or
su$ciently large. Acceptability is used here to refer to a type of satis"cing. The critical
reward, r
A
, is a parameter whose value need not be chosen a priori by the decision-maker.
De"ne A(q, r
A
) as the set of :-values for which the critical reward is guaranteed. When
desirable performance means that the reward function R takes small values, then A(q, r
A
) is
A(q, r
A
)"

:: max
u3U(:, uJ)
R(q, u))r
A

. (5)
On the other hand, if large R is preferred then
A(q, r
A
)"

:: min
u3U(:, uJ)
R(q, u)*r
A

. (6)
In either case, the robustness function is the greatest value of the uncertainty parameter for
which acceptable performance is assured. That is, the robustness is the least upper bound of
the set A( q, r
A
):
:L (q, r
A
)" sup
:3A(q, r
A
)
:. (7)
If A(q, r
A
) is empty then the reward r
A
cannot be achieved at any level of uncertainty and we
de"ne :( (q, r
A
)"0. When :( (q, r
A
) is large then the decision-maker is immune to a wide range
of variation, while if :( (q, r
A
) is small then even small #uctuations can lead to violation of the
performance requirement. Thus, &bigger is better' for the robustness :( .
The robustness function establishes a preference ordering of actions. The decision-maker
will prefer action q over action q' if the robustness is greater with q than with q' at the same
critical value:
q Yq' if :( (q, r
A
)':( (q', r
A
). (8)
459 INFO-GAP VALUE
The decision-maker's optimal robust strategy is to choose an action qL(r
A
) which maximises
the robustness:
:( (qL(r
A
), r
A
)"max
q3Q
:( (q, r
A
) (9)
where Q is the set of available actions.
The logical structure of this decision algorithm as a &severe test' is discussed further in [2].
Robustness to uncertainty is important when we concentrate on the pernicious possibili-
ties entailed by unknown variation. However, variations can be propitious and surprises
can be bene"cient. The dynamic #exibility which is so important for survival, as Rosenhead
has stressed [9], thrives on emergent opportunities. We can study this aspect of decisions
with the &opportunity function' which is the logical complement to the robustness function
:( and is discussed elsewhere [10].
2.3. ROBUSTNESS TRADE-OFF
The following theorem expresses a fundamental trade-o! between immunity-to-uncer-
tainty and demanded reward. The proof of this theorem [11] depends only on the nesting
axiom of info-gap models, equation (1).
Theorem 1. et U(:, uJ) be an info-gap model and let R(q, u) be a uniformly continuous reward
function. he resulting robustness function :L(q, r
A
) is strictly monotonic on the set of critical
rewards r
A
for which :L(q, r
A
) exists and is positive. :L(q, r
A
) decreases with improving r
A
-value.
Speci"cally, if small R is preferred, equation (5), then a small value of r
A
is more desirable
and more demanding than a large value. Hence :( (q, r
A
) decreases with decreasing r
A
:
:( (q, r
A
)(:( (q, r
A
) for r
A
(r
A
. (10)
If large R is preferred, equation (6), then :( (q, r
A
) decreases with increasing r
A
:
:( (q, r
A
)':( (q, r
A
) for r
A
(r
A
. (11)
This is true also for the robustness function evaluated at the optimal action, as stated in the
following corollary.
Corollary 1. et U(:, uJ) be an info-gap model, let R(q, u) be a uniformly continuous reward
function, and let qL(r
A
) be a maximally robust strategy as a function of critical reward r
A
. hen
the optimal robustness, :L(qL(r
A
), r
A
), is strictly monotonic in r
A
, decreasing with improving r
A
.
That is, the maximal robustness is strictly monotonic on the set of reachable rewards.
Theorem 1 and its corollary show the inexorable trade-o! between reward and immunity-
to-uncertainty. Robustness is obtained only in exchange for degraded performance. The
decision-maker must choose a position on the spectrum of this trade-o!. This theorem also
shows that the decision-maker need not make an irrevocable prior choice of the critical
reward r
A
. Rather, r
A
is chosen in light of the analysis of the robustness to ambient
uncertainties. For instance, the decision-maker may "nd that better performance can be
demanded without substantially increasing the vulnerability to uncertainty. This (very
pleasing) outcome of the analysis may well induce the decision-maker to demand better
performance. Alternatively, the analyst may "nd that, by slightly diminishing the demanded
performance, the immunity to uncertainty is greatly enhanced. Again, the analysis may lead
to a modi"cation of the decision-maker's preferences. In short, the robustness :( (q, r
A
),
viewed as a function of critical reward, is a decision-support tool with which the decision-
maker assesses the options and their consequences.
460 Y. BEN-HAIM
Figure 1. Two robustness curves based on di!erent information.
3. DEMAND VALUE OF INFORMATION
3.1. ROBUSTNESS PREMIUM AND DEMAND VALUE
The basic question we ask is: what is the worth of information? The answer has two parts.
We will assess the usefulness of information as a &robustness premium' which it entails. We
will determine a value for information as the added reward which the decision-maker can
demand without losing robustness when the information is exploited. This will turn out to
be a &reward premium' which the information induces and will be recognised as what the
economists call a &demand value'. The units of the demand value are the same as those of the
reward function R(q, u), which may be dollars, or millimeters, or hertz, etc.
Let :(

(q, r
A
) and :(

(q, r
A
) be the robustness functions from two di!erent constellations of
information, each with its own info-gap model and reward function and underlying system
models and performance criteria, as in Fig. 1. In short, these robustness curves are based on
two di!erent &decision models'. The information upon which one curve is based may be
obtained by updating or improving the information underlying the other curve. Alterna-
tively, one curve may be based on better or simply di!erent analyses of existing data. Or, the
curves may re#ect the assessments of uncertainty or choices of models made by di!erent
analysts. While the pair of robustness curves in Fig. 1 do not cross, this is not the general
case as we will see in subsequent examples.
The demand value of the information needed to move from :(

(q, r
A
) to :(

(q, r
A
), Ar
A
in
Fig. 1, is the increment in reward which can be demanded after acquiring the new
information. The horizontal arrows in Fig. 1 show the increment in reward which the
decision-maker can con"dently demand as a result of using the di!erent information. This is
a &demand value' in the economic sense that the decision-maker would be willing to pay any
quantity up to, but not more than, this increment in reward in order to exchange the
information. The demand value of information is expressed explicitly in the units of the
reward by which the system itself is evaluated. We note that the demand value depends on
the level of ambient uncertainty: where on the robustness curve the decision-maker is
operating. Information has no absolute value; its value is relative to the environment. In
particular, we see from this pair of curves that information is of relatively lower worth at
a low level of demanded reward and at a high level of robustness.
The robustness premium of information, A:( in Fig. 1, expresses the increment of immunity
resulting from the exchange of information, and is shown by the vertical arrows. The
461 INFO-GAP VALUE
robustness premium speaks directly to the issue of immunity, but it lacks the economic
overtone of the demand value. The robustness premium, like the demand value, depends on
the operating point at which the decision-maker is functioning.
We can express the demand value at uncertainty :, for decision model & 2' with respect to
decision model &1', as the di!erence:
Ar
A
(:)"r
A
!r
A
(12)
where the critical rewards r
A
and r
A
satisfy
:(

(q, r
A
)":":(

(q, r
A
) . (13)
If the robustness function decreases with increasing critical reward, equation (11), then
Ar
A
(:) will be positive or negative if model &2' is more or less valuable than model &1',
respectively. Furthermore, the sign of Ar
A
(:) may change with : since the robustness curves
may cross.
If the robustness function increases with increasing critical reward, equation (10), then
Ar
A
(:) is negative for valuable increments and positive otherwise.
The robustness premium at critical reward r
A
, of decision model &2' with respect to model
&1', may be either positive or negative, and is de"ned as
A:( (r
A
)":L

(q, r
A
)!:(

(q, r
A
). (14)
3.2. INFORMATION AND ROBUSTNESS
We have indicated that, in general, the sign of the demand value can change with the level
of uncertainty, indicating a switch in preference between the decision models. However, an
important special case exists in which the sign of the demand value is constant, as implied
by the following theorem. The proof of this theorem is found in [6].
The theorem employs a set-inclusion concept for comparing the &informativeness' of two
info-gap models of uncertainty, U

(:, uJ) and U

(:, uJ). If U

(:, uJ) is a subset of U

(:, uJ) then

the former constrains the ambient uncertainty more strictly than the latter. In this sense,
U

(:, uJ) is more informative than U

(:, uJ).
Theorem 2. et U

(:, uJ) and U

(:, uJ) be two info-gap models with corresponding robustness

functions :L

(q, r
A
) and :L

(q, r
A
), based on the same reward function and performance require-
ment. U

(:, uJ) is more informative than U

(:, uJ), in the set-inclusion sense, if and only if :L

(q, r
A
)
is everywhere no less than :L

(q, r
A
). hat is,
U

(:, uJ) -U

(:, uJ) (15)

if and only if:
:(

(q, r
A
)*:(

(q, r
A
). (16)
Theorem 2 implies that robustness functions will never cross (though they may intersect)
if and only if their info-gap models are ranked by informativeness. This implies that the
demand value between them will never change sign (though it may become zero). In other
words, information-ranked info-gap models generate decision models for which one is
always preferable (or equivalent) to the other in terms of their demand value.
Theorem 2 is true also if the robustnesses are evaluated at their respective optimal
actions.
Corollary 2. et U

(:, uJ) and U

(:, uJ) be two info-gap models with corresponding robustness

functions :L

(q, r
A
) and :L

(q, r
A
) and optimal actions qL

(r
A
) and qL

(r
A
), based on the same reward
function and performance requirement.
462 Y. BEN-HAIM
U

(:, uJ) is more informative than U

(:, uJ), in the set-inclusion sense of equation (15), if and

only if:
:(

(qL

(r
A
), r
A
)*:L

(qL

(r
A
), r
A
). (17)
4. UNCERTAIN LOADS ON A CANTILEVER
We employ the cantilever, subject to uncertain static loads, to illustrate the demand value
of information. We will de"ne a performance criterion, a de#ection model, and an info-gap
uncertainty model. We will evaluate the demand value of improvements in the info-gap
model of load uncertainty.
Let x denote the position along the cantilever, where the clamped end is at x"0 and
the free end is at x". Static forces are applied in a single plane and perpendicular to
the beam axis, where u(x) is the unknown force density, in units of N/m, at position x. The
de#ection pro"le resulting from this load is v(x) which, for small de#ections, obeys the
following di!erential equation:
EI
dv(x)
dx
"u(x) (18)
where E is Young's modulus for the material and I is the area moment of inertia of the
cross-section. We assume that EI is constant along the length of the beam. The boundary
conditions at the clamped end are
v(0)"v'(0)"0 (19)
where the prime denotes di!erentiation with respect to x. At the free end the boundary
conditions are
v"()"v'''()"0. (20)
The performance criterion is that the de#ection at the free end must not exceed a critical
value, v
A
:
v())v
A
. (21)
Thus, the performance requirement is of the small-is-better kind [equation (5)].
The force density u(x) is represented as
u(x)"uJ#
L

LL

L
sin
nx

(22)
"uJ#2
LL
(x) (23)
where the nominal load, uJ, is constant, is the vector of Fourier coe$cients and
L L
(x) is
the vector of corresponding sine functions.
The info-gap model for uncertainty in the load-pro"le Fourier-coe$cient vector , with
least and greatest spatial modes n

and n

, is
U
L L
(:, uJ)"u(x)"uJ#2
L L
(x): 2)uJ:, :*0. (24)
The informativeness of the info-gap model U
LL
(:, uJ), in the set-inclusion sense, is
determined by the bandwidth. A tighter bandwidth implies stricter constraints on the
possible load pro"les, and hence greater information about the environment. If
n

)m

and m

)n

. (25)
463 INFO-GAP VALUE
Then
U
KK
(:, uJ) -U
LL
(:, uJ). (26)
U
KK
(:, uJ) is a more informative info-gap model than U
LL
(:, uJ).
The solution of equation (18), in response to load pro"le u(x)"uJ#2
LL
(x), for the
clamped-free boundary conditions in equations (19) and (20), is
EIv(x)"uJ

x
24
!
x
6
#
x
4
!
x
2
L

LL

n
#
L

LL

n _
x
6
#

x!

sin
nx

#

x
2
!
x
6
L

LL

n
(1!(!1)L). (27)
We are particularly interested in the end de#ection, for which equation (27) simpli"es
considerably:
EIv()
uJ
"
1
8
#
1
uJ
L

LL

L

1
(n)
!
(!1) L
3n
GFFHFFI

L
(28)
"
1
8
#
1
uJ
2 (29)
where the elements of the vector are de"ned in equation (28). The quantity EIv/uJ on the
left-hand side of equation (28) is a dimensionless de#ection.
In order to calculate the robustness function we must evaluate the greatest de#ection for
any load pro"le in the info-gap model. Using Lagrange optimisation the result is
max
u3U
L L
(:, uJ )
EIv()
uJ
"
1
8
#: (2 . (30)
Denote the dimensionless form of the maximum allowed de#ection v
A
as
j
A
"
EIv
A
uJ
. (31)
Equating the maximum normalised de#ection, equation (30), to the normalised perfor-
mance requirement, j
A
, and solving for : leads to the robustness for this info-gap model:
:(
LL
(j
A
)"
8j
A
!1
8(2
. (32)
The performance requirement is that the dimensionless end de#ection be no greater than j
A
,
which means that reward increases as j
A
decreases: a small value of j
A
is more desirable or
demanding than a large value. In equation (32) and in Fig. 2 we see the usual trade-o!
(even though the robustness curves have positive rather than negative slopes): the robust-
ness :(
L L
(j
A
) increases as the performance degrades (as j
A
increases), as anticipated by
Theorem 1.
Robustness functions versus critical de#ection are shown in Fig. 2 for values of m
G
and
n
G
satisfying relations (25), so the corresponding info-gap models are nested as in equation
(26). The horizontal arrow shows the demand value, Aj
A
(:), of the more informative
464 Y. BEN-HAIM
Figure 2. Robustness curves for more and less informative info-gap models.
uncertainty model. This demand value is calculated as in equations (12) and (13). The
critical rewards j
AK
and j
AL
are evaluated from
:(
KK
(j
AK
)":":(
LL
(j
AL
). (33)
The demand value of U
KK
with respect to U
LL
is
Aj
A
(:)"j
AK
!j
AL
(34)
":
,
K

LK

L
!
,
L

LL

. (35)
The demand value of the more informative info-gap model, in units of j
A
, is negative
because a small value of j
A
is desirable. We also see that the demand value increases as the
ambient uncertainty, :, rises: an informative model is more useful in the presence of great
uncertainty.
A word of caution: the more informative info-gap model is more valuable if it is veri,ed.
If we know that real variability is described by the tighter, more informative, of the two
info-gap models, then we can demand better performance, and in this sense the information
needed to update the less informative to the more informative model is valuable. Of course,
it would be valuable (in a somewhat di!erent sense) to know that the putatively &more
informative' model is wrong, and the &less informative' model in fact describes the ambient
uncertainty. This is valuable because it informs us that we must either relax our demands on
the system or employ alternative technologies to achieve assurance of better performance.
The demand value in equation (35), in units of dimensionless de#ection, is shown in
Table 1 for a range of m

and n

values and with m

"n

"1 and :"1. Moving from left

to right on each row we see that Aj
A
gets better (more negative) as the di!erence n

!m

increases. This means that the worth of U

K
increases in comparison with U
L
as the latter
info-gap model becomes less informative than the former. The reverse is true as we move
down each column: the worth of U
K
decreases as it becomes more similar to U
L
. These
increments of value are expressed in units of the performance requirement of the system
itself, Aj
A
or, equivalently, Av
A
. The decision-maker presumably has a sound qualitative
understanding of the signi"cance of increments in these parameters, which enables the
assessment of the signi"cance of increments of information.
5. CANTILEVER: DISJOINT INFO-GAP MODELS
The set-inclusion criterion for informativeness, equation (15) or (26), captures only one
aspect of the full gamut from &simple' to &complex' decision models. Furthermore, in
465 INFO-GAP VALUE
TABLE 1
Demand value of an informative info-gap model, equation (35), for m

"n

"1
and :"1
n

"1 2 3 4 5
m

"1 0 !0.0084 !0.013 !0.015 !0.017

2 0 !0.0045 !0.0067 !0.0082
3 0 !0.0022 !0.0037
4 0 !0.0015
5 0
connection with equation (12), we explained that a demand value can be calculated for any
pair of decision models, regardless of whether or not one is more informative than the other.
As implied by Theorem 2, the sign of this demand value will be constant at all levels of
uncertainty if and only if the info-gap models are nested. Otherwise, the sign will change
indicating a di!erent preference between the models in di!erent circumstances. We will
illustrate this by comparing the decision model of Section 4 against a nominally simpler
model.
The &complex' decision model represents uncertain distributed loads with the Fourier
ellipsoid info-gap model of equation (24). We will suppose that spatial models from the 5th
to the 10th make up the uncertain load functions, so n

"5 and n

"10. The fourth-order

di!erential equation for beam de#ection, equation (18), is used, leading to the robustness
function of equation (32). We will denote this robustness by :(
A
which, for this speci"c
info-gap model, becomes
:(
A
(j
A
)"26.46

j
A
!
1
8
. (36)
The &simple' decision model assumes that the loads are concentrated at the mid-point of
the beam. Instead of equation (28), the end de#ection resulting from a point force f at the
mid-point is
v()"
f
12EI
. (37)
The fractional variation of the point load is uncertain, so the info-gap model for variation
in f is
U(:, fI)"

f :
f!fI
fI
)
:
(2

, :*0 (38)
where the nominal point load fI corresponds to the nominal uniform load density uJ in
equation (24):
fI"uJ. (39)
The normalisation by (2 in equation (38) is chosen to coordinate the scales of value of the
uncertainty parameters in this info-gap model and the Fourier ellipsoid model in equation
(24). We want U(:, fI) and U
LL
(:, uJ) to be comparable in size. In equation (38) the least
upper bound of the squared fractional variation of the load, up to uncertainty :, is

f!fI
fI

)
:
2
. (40)
466 Y. BEN-HAIM
Figure 3. Robustness curves for &simple' and &complex' decision models.
Evaluating the analogous quantity for U
LL
(:, uJ) we "nd
1
,
*

u(x)!uJ
uJ

dx"
1
uJ
L

LL

L
,
*

sin
nx

df x (41)
)
:
2
. (42)
Comparing equations (40) and (42) we see that, though the info-gap models U(:, fI) and
U
LL
(:, uJ) are di!erent, the calibrations of their uncertainty parameters are comparable in
terms of the horizons of uncertainty of these models.
The robustness function for the simple decision model is found by evaluating the
maximum de#ection at uncertainty :, equating this to the critical de#ection v
A
, and solving
for :. One "nds
:(
Q
(j
A
)"12j
A
!1 (43)
where j
A
is the dimensionless critical de#ection in equation (31).
The robustness functions of the &simple' and &complex' decision models, equations (43)
and (36), are depicted in Fig. 3. These curves cross at the point (0.16, 0.92) in the j
A
vs :L plane.
The intersection of the robustness curves means that there is no unequivocal demand-value
preference for one or the other of these two decision models. The &simple' model is more
robust if the normalised critical reward j
A
is less than 0.16. Consequently, the demand value
of the &simple' model over the &complex' model is negative (preferable) in this range.
However, for j
A
'0.16 the situation is reversed, and the &complex' model is preferable to the
&simple' model in terms of robustness premium or demand value.
In other words, when our performance requirement is j
A
'0.16 we would prefer to verify
and use the &complex' info-gap model. On the other hand, if our system requirement is
j
A
(0.16 we would rather verify and employ the &simple' model. Note that the &complex'
uncertainty model is preferred in the case of the less-demanding performance requirement.
The predicates &simple' and &complex' assert something about the structure of the uncer-
tainty models, but do not imply anything about the quality of the ambient uncertainty or
the performance which can be demanded of the system.
467 INFO-GAP VALUE
In comparing the robustnesses of these two decision models we are assuming that the
underlying uncertainty parameters of the respective info-gap models are commensurate. As
in the present case, this assumption is reasonable when each uncertainty parameter has
comparable meaning and calibration as a measure of variation. In the spectral-bound
model, equation (24), : is the fractional variation of the force-density spectral amplitudes. In
the interval-uncertainty model, equation (38), : is the fractional variation in the magnitude
of the point force. In each case the total force nominally applied to the beam is the same, uJ,
and the calibrations of the uncertainty parameters have been coordinated as explained
earlier.
6. LINEAR SYSTEM WITH UNCERTAIN DYNAMICS
In the previous two examples, Sections 4 and 5, we have evaluated increments in
information about uncertain loads on a mechanical system whose properties are completely
known. We now consider a system-model updating problem. The concept of model-
updating advocated here is that a model is improved by reducing the uncertainty associated
with that model. We start with a nominal model subject to substantial uncertainty
(represented by an info-gap model). We contemplate improving the model by reducing
the uncertainty in the systemmodel (by improving the info-gap model). The question we ask
is: what is the value of the information needed to reduce our uncertainty in the system
model?
The analysis involves the following elements:
*The performance requirements of the system.
*The current system model and the current uncertainty model for this system model.
*An improved model of the uncertainty in the system model. We do not yet know that this
improved uncertainty model is correct. We are evaluating, a priori, the value of obtaining
this improved uncertainty model.
From this information we evaluate two robustness functions: that based on the initial
system and uncertainty models, and that based on the initial system model and the updated
uncertainty model. From these functions we estimate the value of the information required
to reduce our uncertainty about the system model.
This estimate does not explicitly account for the very real possibility that, by improving
the uncertainty model, we may wish to revise the nominal system model as well. After
updating the uncertainty model and incidentally also revising the nominal system model,
we can evaluate the a posteriori value of the information obtained. This would be done by
reevaluating the second robustness function using the updated system and uncertainty
models.
We use a single degree-of-freedom linear system to illustrate the procedure for a priori
estimation of the value of reducing the uncertainty in a system-model. The response x
S
(t) to
input u(t) is determined by the impulse response function g(t):
x
S
(t)"
,
R

g(t!t)u(t)dt. (44)
The performance requirement is that the response to each of speci"ed test inputs,
u

(t),
2
, u
*
(t), be no greater than a critical value:
x
S
l
(t) )r
A
, l"1,
2
, . (45)
468 Y. BEN-HAIM
The actual impulse response function g(t) is unknown, though the current, nominal,
model gJ(t) is known. The current info-gap model for uncertainty in the system model is
U

(:, gJ)"g(t): g(t)!g` (t)):, :*0. (46)

As usual, this info-gap model is a family of nested sets, representing two di!erent types of
uncertainty in the system model. At "xed :, the actual impulse response function deviates
from the nominal model in an unknown way, up to uncertainty :. Furthermore, the horizon
of uncertainty is unknown: we do not know the value of :.
The uniform-bound info-gap model of equation (46) is extremely &uninformative' and
&naive', containing in"nitely many impulse response functions with very high-frequency
components. We envision updating the system model by reducing the uncertainty which is
inherent in U

(:, gJ). In the present example this is done by excluding all but speci"ed
temporal modes. The amplitudes of the remaining modes, with frequencies from n

/
up to n

/, will remain uncertain. The revised system model will be

g(t)"gJ(t)#
L

LL

L
cos
nt

(47)
"gJ(t)#2c(t) (48)
where is the vector of uncertain Fourier coe$cients and c(t) is the vector of the
corresponding cosine functions. The updated uncertainty-model for the impulse-response
function has the following structure:
U

(:, gJ)"g(t)"gJ(t)#2c(t): 2=)h:, :*0 (49)

where =is a real, symmetric, positive de"nite matrix. The parameter h is chosen so that
U

(:, gJ) is the largest possible subset of U

(:, gJ). That is, h is the largest value satisfying:

max
0)t)2
max
g3U

(:, gJ )
g(t)!gJ (t)): (50)
Note that 2c"g!gJ. Using Lagrange optimisation one "nds
max
g3U

(:, gJ )
2c(t) "h:(c2(t)=\c(t). (51)
Consequently h is chosen as
h"
1
max
0)t)2
(c2(t)=\c(t)
. (52)
Let us emphasise that the updated info-gap model has been carefully constructed so as to
be comparable to the initial model. The uncertainty parameters : in both models have the
same units. In addition, U

(:, gJ) is explicitly constructed as the largest band-limited subset

of U

(:, gJ). That is, these info-gap models are ranked by set inclusion as in equation (15).
Furthermore, the information invested in the more informative model is explicitly de"ned:
exclusion of all modes outside a speci"ed bandwidth. We know, experimentally, what we
must do in order to verify or falsify the updated info-gap model.
To evaluate the robustness functions we need the extreme responses*both minimumand
maximum*on each of the info-gap models because
max
g3U
G
x
S
(t) "max

max
g3U
G
x
S
(t)

min
g3U
G
x
S
(t)

. (53)
469 INFO-GAP VALUE
Consider "rst U

(:, gJ). Let sgn(y) represent the algebraic sign of y.

max
g3U

(:, gJ)
x
S
(t)"
,
R

[gJ (t!t)#sgn(u(t)):] u(t) dt (54)

"
,
R

gJ(t!t) u(t) dt#:

GFFFHFFFI
xJ
S
(t)
,
R

u(t) dt
GFHFI
uJ (t)
(55)
"xJ
S
(t)#:uJ (t) (56)
which de"nes the terms xJ
S
(t) (the nominal response) and uJ(t), both of which are known
functions. In similar fashion we "nd
min
g3U

(:, gJ)
x
S
(t)"xJ
S
(t)!:uJ (t). (57)
Combining relations (53), (56) and (57) we conclude that
max
g3U

(:, gJ )
x
S
(t) " xJ
S
(t) #:uJ (t). (58)
The robustness function for test input u(t) is the greatest value of the uncertainty
parameter consistent with not violating the performance requirement. To "nd the robust-
ness we equate the maximum absolute response to the critical value and solve for ::
xJ
S
(t) #:uJ(t)"r
A
N:L
S
(t)"
r
A
!xJ
S
(t)
uJ(t)
. (59)
This assumes that the nominal response, xJ
S
(t), satis"es the performance requirement
xJ
S
(t))r
A
. (60)
If this is not true, then the robustness is zero: any deviation entails the possibility of
violating the performance requirements. The overall robustness of the initial uncertainty
model, considering the test inputs, is the lowest of the robustnesses:
:(

(t)" min
1)l)
:L
S
l
(t). (61)
Now consider U

(:, gJ). Combining equations (44) and (48) we can express the response to
input u(t) as
x
S
(t)"xJ
S
(t)#2
,
R

c(t!t)u(t) dt
GFFHFFI

S
(t)
(62)
"xJ
S
(t)#2
S
(t) (63)
which de"nes the known vector function
S
(t).
Using Lagrange optimisation we "nd the extremal values of 2
S
(t):
max
g3U

(:, gJ)
2
S
(t)"$:h
(2
S
(t)=\
S
(t)
GFFHFFI
j
S
(t)
(64)
470 Y. BEN-HAIM
which de"nes the known function j
S
(t). The maximum absolute response is
max
g3U

(:, gJ)
x
S
(t)"xJ
S
(t) #:hj
S
(t). (65)
As in equation (59), we "nd the robustness for input u(t) by equating the maximum absolute
response to the critical response and solving for ::
:(
S
(t)"
r
A
!xJ
S
(t)
hj
S
(t)
(66)
provided equation (60) holds; if not, the robustness is zero. The overall robustness :(

(t) is
evaluated as in equation (61).
The demand value of the information needed to implement the updated uncertainty
model is evaluated as in equations (12) and (13). For a single test input u(t) this becomes
Ar
A
(:)":[hj
S
(t)!uJ(t)] (67)
":
_
(2
S
(t)=\
S
(t)
max
0)t)
(c2(t)=\c(t)
!
,
R

u(t) dt

. (68)
The salient features of this result will appear in a simple example. Let the shape matrix
=in equation (49) be the identity matrix. Consider the test input
u(t)"

b,
0,
0)t)0
t'0.
(69)
The a priori value of updating the info-gap model of uncertainty, for this test input and for
t)0, is found from equation (68) to be
Ar
A
(t)":b
_
h
,
L

LL
1
n
sin
nt

!
t

(70)
In Fig. 4 we plot equation (70): the a priori demand value of the information needed to
update the system model. The contemplated update reduces the uncertainty about the
system model from the uniform-bound info-gap model of equation (46) to the Fourier
ellipsoid-bound model of equation (49). Four points are to be noted.
First, the demand value is in the units in which the system performance is evaluated,
displacement, as speci"ed in equation (45). Thus numerical values of Ar
A
can presumably be
interpreted qualitatively (large, small; good, bad) by an engineering analyst who can
qualitatively assess levels of performance as expressed by r
A
. The demand value is the
improvement in performance (the increment in r
A
) which can be assured consequent to
obtaining the new information. A large negative value of Ar
A
(:) is desired, since a small value
of r
A
is more stringent than a large value.
Second, Ar
A
in equation (70) is an a priori estimate. It is an assessment of the potential
value of the information. We do not know if uncertainty model U

(:, gJ) is veri"able.

Equation (70) assesses the demand value accruing from U

(:, gJ) if we are able to establish

the veracity of this model, and if the nominal model remains unchanged. We may "nd, in the
course of testing the validity of U

(:, gJ), that it is wrong, that the evidence suggests

a di!erent frequency band (n

, n

), or that the nominal model gJ(t) should be altered in some

way. After verifying a new updated info-gap model we would be in a position to evaluate
an a posteriori value of the new information. The a priori estimate gives us some
early indication of where we might "nd ourselves, informationally, after completing the
update.
471 INFO-GAP VALUE
Figure 4. Demand value vs time, equation (70). n

"1, n

"5 and :b"1. h"0.4714.

Third, the demand value varies in time, depending on the instant or time interval after
system initiation at which the performance requirement is imposed. For times in excess of
t/"0.4 the demand value becomes increasingly attractive (negative). So, if the relevant
time frame is beyond t/"0.4, then there is a clear and strong incentive to acquire new
information which would verify U

(:, gJ). On the other hand, if the relevant times are very
short then the new information would be of little value.
Finally, it is important to recognise that the demand value depends very intimately upon
comparison of the two underlying info-gap models. Care must be taken to assure that the
uncertainty parameters are comparable in units and scaling. In the present example this is
achieved by de"ning U

(:, uJ) as the largest subset of U

(:, uJ) resulting from the exclusion of

a particular class of functions from U

(:, uJ).
7. CONCLUSION
Information is the complement of uncertainty, so model updating*which is a process of
acquiring information*entails the reduction of uncertainty. Very often this uncertainty is
a stark lack of knowledge, since it is the counterpart or backdrop of existing understanding:
uncertainty describes what we do not know; information is what we do know. We have
concentrated on this severe type of uncertainty, quantifying it with information-gap models,
and we have considered updating to focus on the improvement of info-gap uncertainty
models. Our main e!ort has been to show how the result of model updating can be
evaluated in terms of the performance requirements of the system itself. That is, the central
question has been: by how much can one con"dently demand better performance from the
system as a result of acquiring new information and thereby reducing uncertainty?
The central tool in this evaluation is the robustness function, :( (q, r
A
). This is the greatest
level of info-gap uncertainty consistent with successful performance. Theorem 1 establishes
the irrevocable trade-o! between robustness-to-uncertainty and reward: enhanced perfor-
mance of the system is obtained only by sacri"cing immunity to uncertainty (Fig. 1).
The same "gure also illustrates the demand value of an increment of information, and
shows how new information can be used to circumvent the robustness vs reward trade-o!.
The horizontal displacement between an initial and an updated robustness curve assesses
the increment in performance which can be demanded of the system, without loss of
robustness, as a result of the increment in information. Stated in more classically economic
472 Y. BEN-HAIM
terms, the demand value of an increment of information is the increment of improvement in
performance (or reward) which the system can achieve without su!ering a loss of robust-
ness, in exchange for applying the information.
Theorem 2 introduces the idea of the &informativeness' of an info-gap model of uncertain-
ty in terms of set-inclusion: an uncertainty-model is informative to the degree that it more
tightly delimits the range of unknown variation. Theorem 2 implies that the demand value
of information will be of constant sign if and only if the info-gap model is updated to a more
informative model in the set-inclusion sense. Information is universally valuable only when
it satis"es the set-inclusion criterion.
We have considered three examples. The cantilever example in Section 4 illustrates the
determination of the demand value of an increment of information about uncertain load
pro"les, where the updated info-gap model is strictly included in the initial model. In
Section 5, the demand value of a &complex' decision model is evaluated with respect to
a &simple' model, where neither is set-included in the other. In this case the value of the
information changes sign as a function of the level of performance required of the system,
indicating that neither model is universally preferred. This means that the increment in
information may or may not be worth acquiring, depending on the required level of
performance. Interestingly, the &simple' model is preferred under stringent performance
requirements, while the &complex' model is preferred in a lax environment.
In Section 6, we consider the demand value of information in updating the impulse
response function of a linear dynamic system. The updated system-uncertainty model is
set-included in the initial model so that information is always valuable. However, it is seen
that the actual worth depends on the time frame of interest.
In all these examples we have stressed the importance of establishing the comparability of
the info-gap models. In particular, the uncertainty parameter must have the same dimen-
sions and calibration both before and after updating. This is a delicate matter and not
always unambiguously achieved. Furthermore, the demand value studied here is an a priori
assessment of the potential value of information which is not yet in hand. The demand value
is a pre-measurement decision-support tool for anticipating the utility of information and
for deciding what measurements and analyses to perform. We have indicated how an
a posteriori assessment of information can be made.
ACKNOWLEDGEMENT
This research was supported by the Fund for the Promotion of Research at the Technion.
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