Open problems are clearly defined problems1 that have not been solved. In older fields, such as Mathematics, the list is rather intimidating. Rationality, on the other, seems to have no list.
While we have all of us here together to crunch on problems, let's shoot higher than trying to think of solutions and then finding problems that match the solution. What things are unsolved questions? Is it reasonable to assume those questions have concrete, absolute answers?
The catch is that these problems cannot be inherently fuzzy problems. "How do I become less wrong?" is not a problem that can be clearly defined. As such, it does not have a concrete, absolute answer. Does Rationality have a set of problems that can be clearly defined? If not, how do we work toward getting our problems clearly defined?
See also: Open problems at LW:Wiki
1: "Clearly defined" essentially means a formal, unambiguous definition. "Solving" such a problem would constitute a formal proof.
"Confidence" in the statistics sense doesn't always have much to do with how confident you are in the conclusion. Something that's the real line in half of all cases and the empty set in the other half of all cases is a 50% confidence interval, but that doesn't mean you're ever 50% confident (in the colloquial sense) that the parameter is on the real line or that the parameter is in the empty set.
The interesting thing about the confidence interval I'm writing about is that it has some frequentist optimality properties. ("Uniformly most accurate", if anyone cares.)