A classical decision theoretic perspective on worst-case analysis

Moshe Sniedovich

Applications of Mathematics (2011)

  • Volume: 56, Issue: 5, page 499-509
  • ISSN: 0862-7940

Abstract

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We examine worst-case analysis from the standpoint of classical Decision Theory. We elucidate how this analysis is expressed in the framework of Wald's famous Maximin paradigm for decision-making under strict uncertainty. We illustrate the subtlety required in modeling this paradigm by showing that information-gap's robustness model is in fact a Maximin model in disguise.

How to cite

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Sniedovich, Moshe. "A classical decision theoretic perspective on worst-case analysis." Applications of Mathematics 56.5 (2011): 499-509. <http://eudml.org/doc/196303>.

@article{Sniedovich2011,
abstract = {We examine worst-case analysis from the standpoint of classical Decision Theory. We elucidate how this analysis is expressed in the framework of Wald's famous Maximin paradigm for decision-making under strict uncertainty. We illustrate the subtlety required in modeling this paradigm by showing that information-gap's robustness model is in fact a Maximin model in disguise.},
author = {Sniedovich, Moshe},
journal = {Applications of Mathematics},
keywords = {worst-case analysis; uncertainty; decision theory; maximin; robustness; worst-case analysis; uncertainty; decision theory; maximin; robustness},
language = {eng},
number = {5},
pages = {499-509},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {A classical decision theoretic perspective on worst-case analysis},
url = {http://eudml.org/doc/196303},
volume = {56},
year = {2011},
}

TY - JOUR
AU - Sniedovich, Moshe
TI - A classical decision theoretic perspective on worst-case analysis
JO - Applications of Mathematics
PY - 2011
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 56
IS - 5
SP - 499
EP - 509
AB - We examine worst-case analysis from the standpoint of classical Decision Theory. We elucidate how this analysis is expressed in the framework of Wald's famous Maximin paradigm for decision-making under strict uncertainty. We illustrate the subtlety required in modeling this paradigm by showing that information-gap's robustness model is in fact a Maximin model in disguise.
LA - eng
KW - worst-case analysis; uncertainty; decision theory; maximin; robustness; worst-case analysis; uncertainty; decision theory; maximin; robustness
UR - http://eudml.org/doc/196303
ER -

References

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