A bird's view of info-gap decision theory

Journal of Risk Finance

Volumn 11, Issue 3, 2010, Pages 268-283

  Sniedovich, Moshe ^a  

^a UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Decision making; Decision theory; Uncertainty management

Indexed keywords

EID: 85015394039     PISSN: 15265943     EISSN: 09657967     Source Type: Journal    
DOI: 10.1108/15265941011043648     Document Type: Article

References (30)

1. Ben-Haim, Y. (1999), “Design certification with information-gap uncertainty”, Structural Safety, Vol. 2, pp. 269-89.
2. Ben-Haim, Y. (2001), Information Gap Decision Theory, Academic Press, London.
3. Ben-Haim, Y. (2005), “Value-at-risk with info-gap uncertainty”, Journal of Risk Finance, Vol. 6 No. 5, pp. 388-403.
4. Ben-Haim, Y. (2006), Info-gap Decision Theory, Academic Press, San Diego, CA.
5. Ben-Haim, Y. (2007), “Faqs about info-gap”, available at: www.technion.ac.il/yakov/IGT/faqs01.pdf.
6. Ben-Tal, A., El Ghaoui, L. and Nemirovski, A. (2006), “Mathematical programming”, Robust Optimization, Vol. 107 Nos 1/2 (special issue).
7. Ben-Tal, A., El Gaoui, L. and Nemirovski, A. (2009a), Robust Optimization, Princeton University Press, Princeton, NJ.
8. Ben-Tal, A., Golany, B. and Shtern, S. (2009b), “Robust multi-echelon multi-period inventory control”, European Journal of Operational Research, Vol. 199 No. 3, pp. 922-35.
9. Beresford-Smith, B. and Thompson, C.J. (2007), “Managing credit risk with info-gap uncertainty”, Journal of Risk Finance, Vol. 8 No. 1, pp. 23-34.
10. Beresford-Smith, B. and Thompson, C.J. (2009), “An info-gap approach to managing portfolios of assets with uncertain returns”, Journal of Risk Finance, Vol. 10 No. 3, pp. 277-87.
11. Bertsimas, D. and Sim, M. (2004), “The price of robustness”, Operations Research, Vol. 52 No. 1, pp. 35-53.
12. Cull, P. (1981), “Global stability of population models”, Bulletin of Mathematical Biology, Vol. 43, pp. 47-58.
13. Dontchev, A.L. and Rockafellar, R.T. (2004), “Regularity and conditioning of solution mappings in variational analysis”, Set-Valued Analysis, Vol. 12, pp. 79-109.
14. French, S. (1986), Decision Theory: An Introduction to the Mathematics of Rationality, Ellis Horwood, Chichester.
15. Hall, J. and Ben-Haim, Y. (2007), “Making responsible decisions (when it seems that you can't)”, FloodRiskNet, available at: www.floodrisknet.org.uk/a/2007/11/hall-benhaim.pdf.
16. Hall, J. and Harvey, H. (2009), “Decision making under severe uncertainty for flood risk management: a case study of info-gap robustness analysis”, paper presented at the 8th International Conference on Hydroinformatics, January 12-16, Concepción, available at: www.floodsite.net/html/partner_area/project_docs/T20-08-05-hic-infogap.pdf.
17. Hindrichsen, D. and Pritchard, A.J. (1986), “Stability radii of linear systems”, Systems & Control Letters, Vol. 7, pp. 1-10.
18. Kouvelis, P. and Yu, G. (1997), Robust Discrete Optimization and Its Applications, Kluwer, Boston, MA.
19. Milne, W.E. and Reynolds, R.R. (1962), “Fifth-order methods for the numerical solution of ordinary differential equations”, Journal of the ACM, Vol. 9 No. 1, pp. 64-70.
20. Paice, A.D.B. and Wirth, F.R. (1998), “Analysis of the local robustness of stability for flows”, Mathematics of Control, Signals, and Systems, Vol. 11, pp. 289-302.
21. Resnik, M.D. (1987), Choices: An Introduction to Decision Theory, University of Minnesota Press, Minneapolis, MN.
22. Skyrms, B. (1996), Evolution of the Social Contract, Cambridge University Press, Cambridge.
23. Sniedovich, M. (2007), “The art and science of modeling decision-making under severe uncertainty”, Decision Making in Manufacturing and Services, Vol. 1 Nos 1/2, pp. 111-36.
24. Sniedovich, M. (2008), “Wald's maximin model: a treasure in disguise!”, Journal of Risk Finance, Vol. 9 No. 3, pp. 287-91.
25. Thompson, C.J. and Burgman, M.A. (2010), “Gearing investments with uncertainty”, Journal of Risk Finance, Vol. 11 No. 1, pp. 107-10.
26. Thompson, C.J., Guttmann, A.J. and Thompson, B.J.P. (2008), “Trading indicators with information-gap uncertainty”, Journal of Risk Finance, Vol. 9 No. 5, pp. 467-76.
27. Wald, A. (1939), “Contributions to the theory of statistical estimation and testing hypotheses”, The Annals of Mathematics, Vol. 10 No. 4, pp. 299-326.
28. Wald, A. (1945), “Statistical decision functions which minimize the maximum risk”, The Annals of Mathematics, Vol. 46 No. 2, pp. 265-80.
29. Wilf, H.S. (1960), “Maximally stable numerical integration”, Journal of the Society for Industrial and Applied Mathematics, Vol. 8 No. 3, pp. 537-40.
30. Zlobec, S. (2009), “Nondifferentiable optimization: parametric programming”, in Floudas, C.A. and Pardalos, P.M. (Eds), Encyclopedia of Optimization, Springer, New York, NY, pp. 2607-15.