A classical decision theoretic perspective on worst-case analysis
This refreshing article partly deviates from the majority of papers one can find in mathematical journals. Indeed, it is not common to quote a play by William Shakespeare in mathematics-oriented papers. The author clearly wishes to flavor his work by a pinch of philosophy. The goal of the paper is to demonstrate that various seemingly different approaches to handling uncertain data, such as worst-case analysis, information-gap modeling, robust optimization or decision-making under uncertainty, can be formulated in a unified way as a maximin problem: Find \(z\in \mathbb{R}\) such that \[ z=\max _{d\in D} \min _{s\in S(d)} f(d,s), \] where \(D\) represents a decision space, \(S(d)\) denotes the set of states associated with the decisions \(d\in D\), and \(f\) stands for an objective function.
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- The Worst Scenario Method: A Red Thread Running Through Various Approaches to Problems with Uncertain Input Data
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- Abraham Wald's Contributions to Econometrics
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- Minimum Weight Design of Symmetric Angle-Ply Laminates With Incomplete Information on Initial Imperfections
- Optimization of uncertain structures using non-probabilistic models
- Robust discrete optimization and its applications
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- The Art and Science of Modeling Decision-Making Under Severe Uncertainty
- The Theory of Statistical Decision
- Uncertain buckling: Its past, present and future
- Uncertain input data problems and the worst scenario method.
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