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Displaying similar documents to “Intelligent computational methods for financial engineering.”

Guest Editorial

Zbigniew Banaszak, Oleg Zaikin (2010)

Control and Cybernetics

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A classical decision theoretic perspective on worst-case analysis

Moshe Sniedovich (2011)

Applications of Mathematics

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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.