Making Robust Decisions in Discrete Optimization Problems as a Game against Nature
Year: 2008 Volume: 2 Issue: 3 Pages: 237-250
Abstract: In this paper a discrete optimization problem under uncertainty is discussed. Solving such a problem can be seen as a game against nature. In order to choose a solution, the minmax and minmax regret criteria can be applied. In this paper an extension of the known minmax (regret) approach is proposed. It is shown how different types of uncertainty can be simultaneously taken into account. Some exact and approximation algorithms for choosing a best solution are constructed.
JEL classification: C61, C79
Keywords: Discrete optimization, minmax, minmax regret, game against nature
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