Book Chapter

From Statistical Decision Theory to Robust Optimization: A Maximin Perspective on Robust Decision-Making

Moshe Sniedovich

Robustness Analysis in Decision Aiding, Optimization, and Analytics | International Series in Operations Research and Management Science | Springer International Publishing | Published : 2016

Abstract

As attested by the prevalence of worst-case-based robustness analysis in many fields, Wald’s maximin paradigm (circa 1940) plays a central role in the broad area of decision-making under uncertainty. The objective of this chapter is therefore twofold. First, to examine the basic conceptual and modeling aspects of this ostensibly intuitive, yet controversial paradigm, so as to clarify some of the issues involved in its deployment in decision-making in the face of a non-probabilistic uncertainty. Second, to elucidate the differences between this paradigm and other maximin paradigms, such as those used in error analysis and game theory. We thereby chart the journey of this paradigm from the fie..

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University of Melbourne Researchers