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
Globally and superlinearly convergent algorithms for the solution of box-constrained optimization
โ Scribed by Yu-Fei Yang
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 898 KB
- Volume
- 45
- Category
- Article
- ISSN
- 0898-1221
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a b s t r a c t Problems with uncertainties are ubiquitous in many areas of life and the economy. Due to a lack of information as regards the economy and in finance, problems with uncertainties (stock prices, marketing problems, inflation, unemployment) are usually formulated by giving bounds on max