Info-gaps are quantified by info-gap models of uncertainty. An info-gap model is an unbounded family of nested sets. For example, a frequently encountered example is a family of nested ellipsoids all having the same shape. The structure of the sets in an info-gap model derives from the information about the uncertainty. In general terms, the structure of an info-gap model of uncertainty is chosen to define the smallest or strictest family of sets whose elements are consistent with the prior information. Since there is, usually, no known worst case, the family of sets may be unbounded.