Geodesic
A classical decision theoretic perspective on worst-case analysis
Applications of Mathematics, Tome 56 (2011) no. 5, pp. 499-509

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We examine worst-case analysis from the standpoint of classical Decision Theory. We elucidate how this analysis is expressed in the framework of Wald'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.
DOI : 10.1007/s10492-011-0028-x
Classification : 68T37, 90C47, 91A05, 91B06
Keywords: worst-case analysis; uncertainty; decision theory; maximin; robustness 
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Sniedovich, Moshe. A classical decision theoretic perspective on worst-case analysis. Applications of Mathematics, Tome 56 (2011) no. 5, pp. 499-509. doi: 10.1007/s10492-011-0028-x

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