In the presence of rival models of the same economic system, an optimal policy can be computed that takes account of the existence of all the models. A min-max, worst-case design, problem is formulated and subsequently restated as an alternative min-max problem. A numerical example of this approach
A constrained min-max algorithm for rival models
β Scribed by Berc Rustem
- Publisher
- Elsevier Science
- Year
- 1988
- Tongue
- English
- Weight
- 345 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0165-1889
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
We consider the problem of partitioning the node set of a graph into p equal sized subsets. The objective is to minimize the maximum length, over these subsets, of a minimum spanning tree. We show that no polynomial algorithm with bounded Ε½ 2 . error ratio can be given for the problem unless P s NP.
We consider an extension of the Markowitz mean}variance optimization framework to multiple return and risk scenarios. It is well known that asset return forecasts and risk estimates are inherently inaccurate. The method proposed provides a means for considering rival representations of the future. T
A scheduling model predictive controller is presented for polytopic linear parameter varying systems with input and output constraints. It is shown that the receding horizon implementation of the feasible solutions guarantees closed-loop stability.