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Facets of Robust Decisions

In: Coping with Uncertainty

Author

Listed:
  • Y. Ermoliev

    (Institute for Applied Systems Analysis)

  • L. Hordijk

    (Institute for Applied Systems Analysis)

Abstract

The aim of this paper is to provide an overview of existing concepts of robustness and to identify promising directions for coping with uncertainty and risks surrounding on-going global changes. Unlike statistical robustness, general decision problems may have rather different facets of robustness. In particular, a key issue is the sensitivity of decisions with respect to low-probability catastrophic events. That is, robust decisions in the presence of catastrophic events are fundamentally different from decisions ignoring them. Specifically, proper treatment of extreme catastrophic events requires new sets of feasible decisions, adjusted to risk performance indicators, and new spatial, social and temporal dimensions. The discussion is deliberately kept at a level comprehensible to a broad audience through the use of simple examples that can be extended to rather general models. In fact, these examples often illustrate fragments of models that are being developed at IIASA.

Suggested Citation

  • Y. Ermoliev & L. Hordijk, 2006. "Facets of Robust Decisions," Lecture Notes in Economics and Mathematical Systems, in: Coping with Uncertainty, pages 3-28, Springer.
    • Handle: RePEc:spr:lnechp:978-3-540-35262-4_1
    DOI: 10.1007/3-540-35262-7_1
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    Cited by:

    1. Tatiana Ermolieva & Petr Havlik & Yuri Ermoliev & Nikolay Khabarov & Michael Obersteiner, 2021. "Robust Management of Systemic Risks and Food-Water-Energy-Environmental Security: Two-Stage Strategic-Adaptive GLOBIOM Model," Sustainability, MDPI, vol. 13(2), pages 1-16, January.
    2. Yuri Ermoliev & Tatiana Ermolieva & Guenther Fischer & Marek Makowski, 2010. "Extreme events, discounting and stochastic optimization," Annals of Operations Research, Springer, vol. 177(1), pages 9-19, June.

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