Download or read book Algorithms for Worst Case Design and Applications to Risk Management written by Berç Rustem and published by Princeton University Press. This book was released on 2009-02-09 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recognizing that robust decision making is vital in risk management, this book provides concepts and algorithms for computing the best decision in view of the worst-case scenario. The main tool used is minimax, which ensures robust policies with guaranteed optimal performance that will improve further if the worst case is not realized. The applications considered are drawn from finance, but the design and algorithms presented are equally applicable to problems of economic policy, engineering design, and other areas of decision making. Critically, worst-case design addresses not only Armageddon-type uncertainty. Indeed, the determination of the worst case becomes nontrivial when faced with numerous--possibly infinite--and reasonably likely rival scenarios. Optimality does not depend on any single scenario but on all the scenarios under consideration. Worst-case optimal decisions provide guaranteed optimal performance for systems operating within the specified scenario range indicating the uncertainty. The noninferiority of minimax solutions--which also offer the possibility of multiple maxima--ensures this optimality. Worst-case design is not intended to necessarily replace expected value optimization when the underlying uncertainty is stochastic. However, wise decision making requires the justification of policies based on expected value optimization in view of the worst-case scenario. Conversely, the cost of the assured performance provided by robust worst-case decision making needs to be evaluated relative to optimal expected values. Written for postgraduate students and researchers engaged in optimization, engineering design, economics, and finance, this book will also be invaluable to practitioners in risk management.

Download or read book Algorithms for Worst case Design and Applications to Risk Management written by and published by . This book was released on 2002 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recognizing that robust decision making is vital in risk management, this book provides concepts and algorithms for computing the best decision in view of the worst-case scenario. The main tool used is minimax, which ensures robust policies with guaranteed optimal performance that will improve further if the worst case is not realized. The applications considered are drawn from finance, but the design and algorithms presented are equally applicable to problems of economic policy, engineering design, and other areas of decision making. Critically, worst-case design addresses not only Armageddon-

Download or read book Innovations in Quantitative Risk Management written by Kathrin Glau and published by Springer. This book was released on 2015-01-09 with total page 434 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative models are omnipresent –but often controversially discussed– in todays risk management practice. New regulations, innovative financial products, and advances in valuation techniques provide a continuous flow of challenging problems for financial engineers and risk managers alike. Designing a sound stochastic model requires finding a careful balance between parsimonious model assumptions, mathematical viability, and interpretability of the output. Moreover, data requirements and the end-user training are to be considered as well. The KPMG Center of Excellence in Risk Management conference Risk Management Reloaded and this proceedings volume contribute to bridging the gap between academia –providing methodological advances– and practice –having a firm understanding of the economic conditions in which a given model is used. Discussed fields of application range from asset management, credit risk, and energy to risk management issues in insurance. Methodologically, dependence modeling, multiple-curve interest rate-models, and model risk are addressed. Finally, regulatory developments and possible limits of mathematical modeling are discussed.

Download or read book Robustness Analysis in Decision Aiding Optimization and Analytics written by Michael Doumpos and published by Springer. This book was released on 2016-07-12 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a broad coverage of the recent advances in robustness analysis in decision aiding, optimization, and analytics. It offers a comprehensive illustration of the challenges that robustness raises in different operations research and management science (OR/MS) contexts and the methodologies proposed from multiple perspectives. Aside from covering recent methodological developments, this volume also features applications of robust techniques in engineering and management, thus illustrating the robustness issues raised in real-world problems and their resolution within advances in OR/MS methodologies. Robustness analysis seeks to address issues by promoting solutions, which are acceptable under a wide set of hypotheses, assumptions and estimates. In OR/MS, robustness has been mostly viewed in the context of optimization under uncertainty. Several scholars, however, have emphasized the multiple facets of robustness analysis in a broader OR/MS perspective that goes beyond the traditional framework, seeking to cover the decision support nature of OR/MS methodologies as well. As new challenges emerge in a “big-data'” era, where the information volume, speed of flow, and complexity increase rapidly, and analytics play a fundamental role for strategic and operational decision-making at a global level, robustness issues such as the ones covered in this book become more relevant than ever for providing sound decision support through more powerful analytic tools.

Download or read book Optimization Methods in Finance written by Gerard Cornuejols and published by Cambridge University Press. This book was released on 2006-12-21 with total page 3 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimization models play an increasingly important role in financial decisions. This is the first textbook devoted to explaining how recent advances in optimization models, methods and software can be applied to solve problems in computational finance more efficiently and accurately. Chapters discussing the theory and efficient solution methods for all major classes of optimization problems alternate with chapters illustrating their use in modeling problems of mathematical finance. The reader is guided through topics such as volatility estimation, portfolio optimization problems and constructing an index fund, using techniques such as nonlinear optimization models, quadratic programming formulations and integer programming models respectively. The book is based on Master's courses in financial engineering and comes with worked examples, exercises and case studies. It will be welcomed by applied mathematicians, operational researchers and others who work in mathematical and computational finance and who are seeking a text for self-learning or for use with courses.

Download or read book Computer and Information Sciences ISCIS 2006 written by Albert Levi and published by Springer. This book was released on 2006-10-28 with total page 1106 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 21st International Symposium on Computer and Information Sciences, ISCIS 2006, held in Istanbul, Turkey in October 2006. The 106 revised full papers presented together with five invited lectures were carefully reviewed and selected from 606 submissions.

Download or read book Modeling and Control of Economic Systems 2001 written by R. Neck and published by Elsevier. This book was released on 2003-05-21 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains papers presented at the IFAC symposium on Modeling and control of Economic Systems (SME 2001), which was held at the university of Klagenfurt, Austria. The symposium brought together scientists and users to explore current theoretical developments of modeling techniques for economic systems. It contains a section of plenary, invited and contributed papers presented at the SME 2001 symposium. The papers presented in this volume reflect advances both in methodology and in applications in the area of modeling and control of economic systems.

Download or read book Modal Interval Analysis written by Miguel A. Sainz and published by Springer. This book was released on 2013-11-18 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an innovative new approach to interval analysis. Modal Interval Analysis (MIA) is an attempt to go beyond the limitations of classic intervals in terms of their structural, algebraic and logical features. The starting point of MIA is quite simple: It consists in defining a modal interval that attaches a quantifier to a classical interval and in introducing the basic relation of inclusion between modal intervals through the inclusion of the sets of predicates they accept. This modal approach introduces interval extensions of the real continuous functions, identifies equivalences between logical formulas and interval inclusions, and provides the semantic theorems that justify these equivalences, along with guidelines for arriving at these inclusions. Applications of these equivalences in different areas illustrate the obtained results. The book also presents a new interval object: marks, which aspire to be a new form of numerical treatment of errors in measurements and computations.

Download or read book Optimization Methods in Finance written by Gérard Cornuéjols and published by Cambridge University Press. This book was released on 2018-08-09 with total page 351 pages. Available in PDF, EPUB and Kindle. Book excerpt: Full treatment, from model formulation to computational implementation, of optimization techniques that solve central problems in finance.

Download or read book Cooperative Systems written by Don Grundel and published by Springer Science & Business Media. This book was released on 2007-03-21 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: Because of the clearly important role cooperative systems play in areas such as military sciences, biology, communications, robotics, and economics, just to name a few, the study of cooperative systems has intensified. This book provides an insight in the basic understanding of cooperative systems as well as in theory, modeling, and applications of cooperative control, optimization and related problems.

Download or read book Computational Methods in Decision Making Economics and Finance written by Erricos John Kontoghiorghes and published by Springer Science & Business Media. This book was released on 2013-11-11 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria.

Download or read book Supply Chain Network Economics written by Anna Nagurney and published by Edward Elgar Publishing. This book was released on 2006-01-01 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the first to bring an economics perspective in a rigorous manner to complex decision-making in the management of supply chains. It provides the foundations for the modeling of the interrelationships among decision-makers in supply chains, ranging from manufacturers, distributors, and retailers, to the consumers, assuming individualized behavior. The models handle both competition and cooperation and provide the resulting product flows and prices in the chains. A unique network economics perspective is brought to the issue, setting the book apart from the numerous management and operations research volumes available. After an introduction of the theoretical foundations, the book then extends and applies the theory to energy supply chains in the form of electric power generation and distribution networks. The relationships between electric power supply chains and transportation networks are vividly captured through theoretical results and the solution of practical examples. The book then explores environmental supply chain and financial networks with intermediation, which are interpreted as supply chains and also solved as such. Throughout, the underlying theme is that of transportation networks and how the relationships between supply chain networks and the more established theory of transportation network equilibria can be applied and exploited for logistic-type applications. Economists and transportation researchers will find the book's theory and applications of great interest. Operations researchers and management scientists as well as practitioners in business logistics will be interested in the book's methodological and practical tools.

Download or read book Aerospace System Analysis and Optimization in Uncertainty written by Loïc Brevault and published by Springer Nature. This book was released on 2020-08-26 with total page 489 pages. Available in PDF, EPUB and Kindle. Book excerpt: Spotlighting the field of Multidisciplinary Design Optimization (MDO), this book illustrates and implements state-of-the-art methodologies within the complex process of aerospace system design under uncertainties. The book provides approaches to integrating a multitude of components and constraints with the ultimate goal of reducing design cycles. Insights on a vast assortment of problems are provided, including discipline modeling, sensitivity analysis, uncertainty propagation, reliability analysis, and global multidisciplinary optimization. The extensive range of topics covered include areas of current open research. This Work is destined to become a fundamental reference for aerospace systems engineers, researchers, as well as for practitioners and engineers working in areas of optimization and uncertainty. Part I is largely comprised of fundamentals. Part II presents methodologies for single discipline problems with a review of existing uncertainty propagation, reliability analysis, and optimization techniques. Part III is dedicated to the uncertainty-based MDO and related issues. Part IV deals with three MDO related issues: the multifidelity, the multi-objective optimization and the mixed continuous/discrete optimization and Part V is devoted to test cases for aerospace vehicle design.

Download or read book Optimization and Anti optimization of Structures Under Uncertainty written by Isaac Elishakoff and published by World Scientific. This book was released on 2010 with total page 425 pages. Available in PDF, EPUB and Kindle. Book excerpt: The volume presents a collaboration between internationally recognized experts on anti-optimization and structural optimization, and summarizes various novel ideas, methodologies and results studied over 20 years. The book vividly demonstrates how the concept of uncertainty should be incorporated in a rigorous manner during the process of designing real-world structures. The necessity of anti-optimization approach is first demonstrated, then the anti-optimization techniques are applied to static, dynamic and buckling problems, thus covering the broadest possible set of applications. Finally, anti-optimization is fully utilized by a combination of structural optimization to produce the optimal design considering the worst-case scenario. This is currently the only book that covers the combination of optimization and anti-optimization. It shows how various optimization techniques are used in the novel anti-optimization technique, and how the structural optimization can be exponentially enhanced by incorporating the concept of worst-case scenario, thereby increasing the safety of the structures designed in various fields of engineering.

Download or read book Numerical Methods in Finance written by Michèle Breton and published by Springer Science & Business Media. This book was released on 2005-12-05 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: GERAD celebrates this year its 25th anniversary. The Center was created in 1980 by a small group of professors and researchers of HEC Montreal, McGill University and of the Ecole Polytechnique de Montreal. GERAD's activities achieved sufficient scope to justify its conversion in June 1988 into a Joint Research Centre of HEC Montreal, the Ecole Polytechnique de Montreal and McGill University. In 1996, the U- versite du Quebec a Montreal joined these three institutions. GERAD has fifty members (professors), more than twenty research associates and post doctoral students and more than two hundreds master and Ph.D. students. GERAD is a multi-university center and a vital forum for the devel- ment of operations research. Its mission is defined around the following four complementarily objectives: • The original and expert contribution to all research fields in GERAD's area of expertise; • The dissemination of research results in the best scientific outlets as well as in the society in general; • The training of graduate students and post doctoral researchers; • The contribution to the economic community by solving important problems and providing transferable tools.

Download or read book 21st European Symposium on Computer Aided Process Engineering written by E. N. Pistikopoulos and published by Elsevier. This book was released on 2011-07-21 with total page 2087 pages. Available in PDF, EPUB and Kindle. Book excerpt: The European Symposium on Computer Aided Process Engineering (ESCAPE) series presents the latest innovations and achievements of leading professionals from the industrial and academic communities. The ESCAPE series serves as a forum for engineers, scientists, researchers, managers and students to present and discuss progress being made in the area of computer aided process engineering (CAPE). European industries large and small are bringing innovations into our lives, whether in the form of new technologies to address environmental problems, new products to make our homes more comfortable and energy efficient or new therapies to improve the health and well being of European citizens. Moreover, the European Industry needs to undertake research and technological initiatives in response to humanity's "Grand Challenges," described in the declaration of Lund, namely, Global Warming, Tightening Supplies of Energy, Water and Food, Ageing Societies, Public Health, Pandemics and Security. Thus, the Technical Theme of ESCAPE 21 will be "Process Systems Approaches for Addressing Grand Challenges in Energy, Environment, Health, Bioprocessing & Nanotechnologies."

Download or read book Handbook of Computational Econometrics written by David A. Belsley and published by John Wiley & Sons. This book was released on 2009-08-18 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Computational Econometrics examines the state of the art of computational econometrics and provides exemplary studies dealing with computational issues arising from a wide spectrum of econometric fields including such topics as bootstrapping, the evaluation of econometric software, and algorithms for control, optimization, and estimation. Each topic is fully introduced before proceeding to a more in-depth examination of the relevant methodologies and valuable illustrations. This book: Provides self-contained treatments of issues in computational econometrics with illustrations and invaluable bibliographies. Brings together contributions from leading researchers. Develops the techniques needed to carry out computational econometrics. Features network studies, non-parametric estimation, optimization techniques, Bayesian estimation and inference, testing methods, time-series analysis, linear and nonlinear methods, VAR analysis, bootstrapping developments, signal extraction, software history and evaluation. This book will appeal to econometricians, financial statisticians, econometric researchers and students of econometrics at both graduate and advanced undergraduate levels.