Fooled by Local Robustness

Risk Analysis

Volumn 32, Issue 10, 2012, Pages 1630-1637

  Sniedovich, Moshe ^a  

^a UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Info gap decision theory; Local; Maximin; Radius of stability; Robustness; Severe uncertainty

Indexed keywords

INFO-GAP; LOCAL; MAXIMIN; POINT ESTIMATE; PUBLIC DEBATE; SEVERE UNCERTAINTY; STABILITY MODELS; UNCERTAINTY SPACE;

ROBUSTNESS (CONTROL SYSTEMS); STABILITY;

UNCERTAINTY ANALYSIS;

DECISION SUPPORT SYSTEM; LOCAL PARTICIPATION; QUANTITATIVE ANALYSIS; UNCERTAINTY ANALYSIS;

CYGNUS ATRATUS;

EID: 84866986237     PISSN: 02724332     EISSN: 15396924     Source Type: Journal    
DOI: 10.1111/j.1539-6924.2011.01772.x     Document Type: Article

References (36)

1. Wilf HS. Maximally stable numerical integration. Journal of the Society for Industrial and Applied Mathematics, 1960; 8(3):537-540.
2. Milne WE, Reynolds RR. Fifth-order methods for the numerical solution of ordinary differential equations. Journal of the ACM, 1962; 9(1):64-70.
3. Hinrichsen D, Pritchard AJ. Stability radii of linear systems. Systems & Control Letters, 1986; 7:1-10.
4. Hinrichsen D, Pritchard AJ. Stability radius for structured perturbations and the algebraic Riccati equation. Systems & Control Letters, 1986; 8:105-113.
5. Zlobec S. Characterizing optimality in mathematical programming models. Acta Applicandae Mathematicae, 1988; 12:113-180.
6. Zlobec S. Nondifferentiable optimization: parametric programming. Pp. 2607-2615 in Floudas CA, Pardalos PM (eds). Encyclopedia of Optimization. New York, NY : Springer, 2009.
7. Singh S. Multiparametric sensitivity analysis of the additive model in data envelopment analysis. International Transactions in Operational Research, 2010; 17:365-380.
8. Sniedovich M. A bird's view of info-gap decision theory. Journal of Risk Finance, 2010; 11(3):268-283.
9. Sniedovich M. Black swans, new Nostradamuses, voodoo decision theories and the science of decision-making in the face of severe uncertainty. International Transactions in Operational Research, in press 2012.
10. Taleb NN. Fooled by Randomness. New York, NY : Random House, 2005.
11. Taleb NN. The Black Swan: The Impact of the Highly Improbable. New York, NY : Random House, 2007.
12. Rosenhead MJ, Elton M, Gupta SK. Robustness and optimality as criteria for strategic decisions. Operational Research Quarterly, 1972; 23(4):413-430.
13. Rosenblat MJ. A robust approach to facility design. International Journal of Production Research, 1987; 25(4):479-486.
14. Kouvelis P, Yu G. Robust Discrete Optimization and Its Applications. Boston, MA : Kluwer, 1997.
15. Bertsimas D, Sim M. The price of robustness. Operations Research, 2004; 52(1):35-53.
16. Ben-Tal A, El Gaoui L, Nemirovski A. Robust Optimization. Princeton, NJ : Princeton University, 2009.
17. Lempert RJ, Collins MT. Managing the risk of uncertain threshold responses: comparison of robust, optimum, and precautionary approaches. Risk Analysis, 2007; 27(4):1009-1026.
18. Koch, FH, Yemshanov D, McKenney DM, Smith WD. Evaluating critical uncertainty thresholds in a spatial model of forest pest invasion risk. Risk Analysis, 2009; 29(9):1227-1241.
19. Yemshanov D, Koch FH, Ben-Haim Y, Smith WD. Robustness of risk maps and survey networks to knowledge gaps about a new invasive pest. Risk Analysis, 2010; 30(2):261-276.
20. Burgman MA, Wintle BA, Thompson CA, Moilanen A, Runge MC, Ben-Haim Y. Reconciling uncertain costs and benefits in Bayes Nets for invasive species management. Risk Analysis, 2010; 30(2):277-284.
21. Ben-Haim Y. Interpreting null results from measurements with uncertain correlations: An Info-Gap Approach. Risk Analysis, 2011, 31(1):78-85.
22. Sniedovich M. Fooled by robustness: a radius of stability perspective. Working paper No. MS-1-11, Department of Mathematics and Statistics, The University of Melbourne, Australia, 2011. Available at http://www.moshe-online.com/MS111.pdf
23. Ben-Haim Y. Robust Reliability in the Mechanical Sciences. Berlin : Springer, 1996.
24. Ben-Haim Y. Information Gap Decision Theory. Amsterdam : Academic Press, 2001.
25. Ben-Haim Y. Info-Gap Decision Theory. Amsterdam : Elsevier, 2006.
26. Ben-Haim Y. Info-gap Economics: An Operational Introduction. New York, NY : Palgrave, 2010.
27. Hall JW, Ben-Haim Y. Making responsible decisions (when it seems that you can't). Paper posted on the FloodRiskNet.org.uk website. See http://www.floodrisknet.org.uk/a/2007/11/hallbenhaim.pdf/view. Also available at http://www.technion.ac.il/yakov/IGT/aaahallybh2007.pdf
28. Sniedovich M. The art and science of modeling decisionmaking under severe uncertainty. Decision Making in Manufacturing and Services, 2007; 1(1-2):111-136.
29. Sniedovich M. Wald's Maximin model: a treasure in disguise! Journal of Risk Finance, 2008; 9(3):287-291.
30. Wald A. Contributions to the theory of statistical estimation and testing hypotheses. Annals of Mathematical Statistics, 1939; 10(4):299-326.
31. Wald A. Statistical decision functions which minimize the maximum risk. The Annals of Mathematics, 1945; 46(2):265-280.
32. Wald A. Statistical Decision Functions. New York, NY : John Wiley, 1950.
33. Resnik MD. Choices: an Introduction to Decision Theory. Minneapolis, MN : University of Minnesota Press, 1987.
34. French SD. Decision Theory. New York, NY : Ellis Horwood, 1988.
35. Taleb NN. The Black Swan: The Impact of the Highly Improbable: with a new section: "On Robustness and Fragility". Random House, 2010.
36. Ben-Tal A, Golany B, Shtern S. Robust multi-echelon multi-period inventory control. European Journal of Operational Research, 2009; 199(3):922-935.