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Session MAP - Séance plénière I / Plenary Session I

Day Monday, May 09, 2005
Location Amphithéâtre IBM
Chair Michèle Breton

Presentations

09h00 AM Worst-Case Robust Design and Minimax
  Berc Rustem, Imperial College London, Computing, 180 Queen's gate, London, United Kingdom, SW7 2AZ

We discuss worst-case robustness in the context of macroeconomic policy, finance and process systems engineering. This requires a minimax framework that evaluates the best design, or decision, in view of the worst-case scenario(s). The scenarios can be discrete, such as a set of (rival) models purporting to represent the same system, or continuous, such as uncertain values varying between upper and lower bounds. We consider discrete and continuous minimax formulations and discuss approaches for computing the solution.