In business, the decision-making process almost always takes place in conditions of uncertainty. In decision-making under uncertainty, the decision-maker has no information regarding the occurrence of any states of nature. In such cases, the decision maker's comportment is based on his attitude toward to the unknown. In this article are described two decision models for the situations when the decision-maker has an infinite number of alternatives and the number of states of nature is finite. The obtained mathematical models represent a vision of expanding the classic possibilities of economic optimization processes for the continuous cases. This paper presents the analysis of an experimental study, the results of which reflect the effectiveness of the new proposed algorithms.