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Wald's mighty maximin: a tutorial
Author(s) -
Sniedovich Moshe
Publication year - 2016
Publication title -
international transactions in operational research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.032
H-Index - 52
eISSN - 1475-3995
pISSN - 0969-6016
DOI - 10.1111/itor.12248
Subject(s) - minimax , criticism , relation (database) , field (mathematics) , computer science , epistemology , decision theory , management science , operations research , mathematical economics , economics , philosophy , mathematics , political science , microeconomics , law , database , pure mathematics
Ever since its appearance on the scene in the 1940s, in the then nascent field of statistical decision theory , Wald's maximin paradigm has played a vital role in many disciplines in the treatment of nonprobabilistic uncertainty, both as a tool of thought and as a practical instrument. In fact, in some fields, such as modern robust optimization , Wald's paradigm dominates the scene. It is important to note that this paradigm's preeminence in many fields continues unabated, despite its obvious limitations and the criticism that had been and continues to be leveled at it. So, in this tutorial we examine the methodological aspects of this stalwart of decision theory from the viewpoint of robust decision‐making , paying special attention to its obvious and not so obvious limitations and to its relation to other maximin paradigms.