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Optimisation of Stochastic Systems and Worst-case Analysis

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  • S Zakovic
  • B. Rustem
  • V. Wieland

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Suggested Citation

  • S Zakovic & B. Rustem & V. Wieland, 2002. "Optimisation of Stochastic Systems and Worst-case Analysis," Computing in Economics and Finance 2002 183, Society for Computational Economics.
  • Handle: RePEc:sce:scecf2:183
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    References listed on IDEAS

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    More about this item

    Keywords

    expected loss; minimax; worst-case;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General

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