This paper considers the modeling of decision‐making problems under uncertainty, indicating current gaps in knowledge and promising research directions. Technical details are omitted, and no attempt is made to review past work since excellent recent reviews are available. The discussion of research topics is divided into four categories: model formulation, modeling uncertainty, modeling preferences, and modeling competitive and group decisions. The primary focus is normative, although descriptive work that can be valuable from a normative perspective is included. The suggested research directions cover the entire spectrum from theory to application. Subject Areas: Decision Analysis, Statistical Decision Theory, and Game Theory. 1982 by the American Institute for Decision Sciences