Algorithms for worst-case design and applications to risk management
Auteur :
Rustem, Berç / Howe, Melendres
Éditeur :
Princeton University Press
ISBN :
9780691091549
Date de publication :
15 sept. 2002
Dimensions :
23,5 x 15,2 cm
Poids :
482 g
Format :
B315
Langue :
Anglais
Pays d'origine :
USA
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.