Abstract
We examine worst-case analysis from the standpoint of classical Decision Theory. We elucidate how this analysis is expressed in the framework ofWald’s famous Maximin paradigm for decision-making under strict uncertainty. We illustrate the subtlety required in modeling this paradigm by showing that information-gap’s robustness model is in fact a Maximin model in disguise.
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Sniedovich, M. A classical decision theoretic perspective on worst-case analysis. Appl Math 56, 499–509 (2011). https://doi.org/10.1007/s10492-011-0028-x
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DOI: https://doi.org/10.1007/s10492-011-0028-x