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Algorithms for Worst-Case Design and Applications to Risk Management
Author: Berc Rustem

ISBN: 9780691091549
Format: Hardcover
Number Of Pages: 408
Published: 11 August 2002
Country of Publication: US
Dimensions (cm): 22.9 x 15.2 x 2.6
Description:


Recognizing that robust decision making is vital in risk management, this book provides concepts and algorithms for computing the best decision in view of the worst-case scenario. The main tool used is minimax, which ensures robust policies with guaranteed optimal performance that will improve further if the worst case is not realized. The applications considered are drawn from finance, but the design and algorithms presented are equally applicable to problems of economic policy, engineering design, and other areas of decision making.

Critically, worst-case design addresses not only Armageddon-type uncertainty. Indeed, the determination of the worst case becomes nontrivial when faced with numerous--possibly infinite--and reasonably likely rival scenarios. Optimality does not depend on any single scenario but on all the scenarios under consideration. Worst-case optimal decisions provide guaranteed optimal performance for systems operating within the specified scenario range indicating the uncertainty. The noninferiority of minimax solutions--which also offer the possibility of multiple maxima--ensures this optima...

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