Set coverage and robust policy

DOI10.1016/J.ECONLET.2011.12.071MaRDI QIDQ433183zbMATH OpenOpenAlexFDO

Authors Marc Henry, Alexei Onatski

Publication date 13 July 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2106.09784, https://cirano.qc.ca/files/publications/2011s-61.pdf

zbMATH Keywords

robust controlmaxmin expected utilitypartial identificationset coverage

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric tolerance and confidence regions (62F25) Robustness and adaptive procedures (parametric inference) (62F35) Sensitivity (robustness) (93B35)

Abstract: When conducting inference on partially identified parameters, confidence regions may cover the whole identified set with a prescribed probability, to which we will refer as set coverage, or they may cover each of its point with a prescribed probability, to which we will refer as point coverage. Since set coverage implies point coverage, confidence regions satisfying point coverage are generally preferred on the grounds that they may be more informative. The object of this note is to describe a decision problem in which, contrary to received wisdom, point coverage is clearly undesirable.

Recommendations

• Set selection under explorable stochastic uncertainty via covering techniques
• Improved handling of uncertainty and robustness in set covering problems
• Robust min-max regret covering problems
• The robust set covering problem with interval data
• Robustness of Policies in Constrained Markov Decision Processes
• Stochastic Covering and Adaptivity
• Probabilistic partial set covering problems
• Policy set iteration for Markov decision processes
• Probabilistic set covering with correlations
• Set-cover approximation

Cites work

• Confidence Intervals for Partially Identified Parameters
• Learning Under Ambiguity
• Statistical treatment rules for heterogeneous populations.

Cited in

(1)

• Dilation bootstrap

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