Algorithms for Worst-Case Design and Applications to Risk Management:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Princeton, N.J.
Princeton University Press
2002
|
| Schlagworte: | |
| Online-Zugang: | FAB01 FAW01 FCO01 FHA01 FKE01 FLA01 UPA01 Volltext Volltext |
| Beschreibung: | Main 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 optimality. Worst-case design is not intended to necessarily replace expected value optimization when the underlying uncertainty is stochastic. However, wise decision making requires the justification of policies based on expected value optimization in view of the worst-case scenario. Conversely, the cost of the assured performance provided by robust worst-case decision making needs to be evaluated relative to optimal expected values. Written for postgraduate students and researchers engaged in optimization, engineering design, economics, and finance, this book will also be invaluable to practitioners in risk management |
| Beschreibung: | 1 Online-Ressource (408 S.) |
| ISBN: | 9781400825110 |
| DOI: | 10.1515/9781400825110 |
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Datensatz im Suchindex
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| id | DE-604.BV042522185 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:24:00Z |
| institution | BVB |
| isbn | 9781400825110 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027956524 |
| oclc_num | 910107489 |
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| physical | 1 Online-Ressource (408 S.) |
| psigel | ZDB-23-DGG ZDB-23-DGG FAW_PDA_DGG ZDB-23-DGG FCO_PDA_DGG ZDB-23-DGG FHA_PDA_DGG ZDB-23-DGG FKE_PDA_DGG ZDB-23-DGG FLA_PDA_DGG ZDB-23-DGG UPA_PDA_DGG |
| publishDate | 2002 |
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| spelling | Howe, Melendres Verfasser aut Algorithms for Worst-Case Design and Applications to Risk Management Princeton, N.J. Princeton University Press 2002 1 Online-Ressource (408 S.) txt rdacontent c rdamedia cr rdacarrier Main 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 optimality. Worst-case design is not intended to necessarily replace expected value optimization when the underlying uncertainty is stochastic. However, wise decision making requires the justification of policies based on expected value optimization in view of the worst-case scenario. Conversely, the cost of the assured performance provided by robust worst-case decision making needs to be evaluated relative to optimal expected values. Written for postgraduate students and researchers engaged in optimization, engineering design, economics, and finance, this book will also be invaluable to practitioners in risk management Algorithmus (DE-588)4001183-5 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Operations Research (DE-588)4043586-6 gnd rswk-swf Risikomanagement (DE-588)4121590-4 s Operations Research (DE-588)4043586-6 s Algorithmus (DE-588)4001183-5 s 1\p DE-604 Rustem, Berç Sonstige oth https://doi.org/10.1515/9781400825110 Verlag Volltext http://www.degruyter.com/search?f_0=isbnissn&q_0=9781400825110&searchTitles=true Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Howe, Melendres Algorithms for Worst-Case Design and Applications to Risk Management Algorithmus (DE-588)4001183-5 gnd Risikomanagement (DE-588)4121590-4 gnd Operations Research (DE-588)4043586-6 gnd |
| subject_GND | (DE-588)4001183-5 (DE-588)4121590-4 (DE-588)4043586-6 |
| title | Algorithms for Worst-Case Design and Applications to Risk Management |
| title_auth | Algorithms for Worst-Case Design and Applications to Risk Management |
| title_exact_search | Algorithms for Worst-Case Design and Applications to Risk Management |
| title_full | Algorithms for Worst-Case Design and Applications to Risk Management |
| title_fullStr | Algorithms for Worst-Case Design and Applications to Risk Management |
| title_full_unstemmed | Algorithms for Worst-Case Design and Applications to Risk Management |
| title_short | Algorithms for Worst-Case Design and Applications to Risk Management |
| title_sort | algorithms for worst case design and applications to risk management |
| topic | Algorithmus (DE-588)4001183-5 gnd Risikomanagement (DE-588)4121590-4 gnd Operations Research (DE-588)4043586-6 gnd |
| topic_facet | Algorithmus Risikomanagement Operations Research |
| url | https://doi.org/10.1515/9781400825110 http://www.degruyter.com/search?f_0=isbnissn&q_0=9781400825110&searchTitles=true |
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