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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...

This book examines computational methods and analytical models in financial engineering that rely on computation. It features the work of leading researchers in portfolio optimization and option pricing; banking; risk and macroeconomic modeling.

This volume covers recent developments in the design, operation, and management of mobile telecommunication and computer systems.

Uncertainty regarding loading and system parameters leads to challenging optimization and robustness issues. Stochastic modeling combined with optimization theory ensures the optimum end-to-end performance of telecommunication or computer network systems. In view of the diverse design options possible, supporting models have many adjustable parameters and choosing the best set for a particular performance objective is delicate and time-consuming. An...

This volume covers recent developments in the design, operation, and management of mobile telecommunication and computer systems.

Uncertainty regarding loading and system parameters leads to challenging optimization and robustness issues. Stochastic modeling combined with optimization theory ensures the optimum end-to-end performance of telecommunication or computer network systems. In view of the diverse design options possible, supporting models have many adjustable parameters and choosing the best set for a particular performance objective is delicate and time-consuming. An...

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.
Optimization is at the core of rational decision making. Even when the decision maker has more than one goal or there is significant uncertainty in the system, optimization provides a rational framework for efficient decisions. The Markowitz mean-variance formulation is a classical example. The first part of the...