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 ...
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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.
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Add this copy of Algorithms for Worst-Case Design and Applications to to cart. £18.79, good condition, Sold by HPB-Red rated 5.0 out of 5 stars, ships from Dallas, TX, UNITED STATES, published 2002 by Princeton University Press.
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Book. Octavo, xi, xv, 389 pages. In Very Good condition with a Very Good minus dust jacket. Spine pictorial gray/pink with red and white lettering. Exterior has slight shelf wear including few scratches/scuffs and slight edge wear. Previous bookshop's sticker to the rear. Boards have minimal wear. Text block has very faint wear to the edges. Illustrated. First edition, first printing. NOTE: Shelved in Netdesk Column M, ND-M. 1385268. FP New Rockville Stock.
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PLEASE NOTE, WE DO NOT SHIP TO DENMARK. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Please note we cannot offer an expedited shipping service from the UK.
Add this copy of Algorithms for Worst-Case Design and Applications to to cart. £134.98, new condition, Sold by Paperbackshop rated 4.0 out of 5 stars, ships from Bensenville, IL, UNITED STATES, published 2002 by Princeton University Press.
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