Journal article

Wald's mighty maximin: a tutorial

Moshe Sniedovich

INTERNATIONAL TRANSACTIONS IN OPERATIONAL RESEARCH | WILEY-BLACKWELL | Published : 2016

Abstract

Ever since its appearance on the scene in the 1940s, in the then nascent field of statistical decision theory, Wald's maximin paradigm has played a vital role in many disciplines in the treatment of nonprobabilistic uncertainty, both as a tool of thought and as a practical instrument. In fact, in some fields, such as modern robust optimization, Wald's paradigm dominates the scene. It is important to note that this paradigm's preeminence in many fields continues unabated, despite its obvious limitations and the criticism that had been and continues to be leveled at it. So, in this tutorial we examine the methodological aspects of this stalwart of decision theory from the viewpoint of robust d..

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University of Melbourne Researchers