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Risk Analysis 101: fooled by local robustness ... again!

Moshe Sniedovich(moshe***at***ms.unimelb.edu.au)

Abstract: This article explains, again, why radius of stability models, such as info-gap's robustness model, are models of local robustness and why they are therefore unsuitable for the treatment of severe uncertainty.

Keywords: robustness, local, global, maximin, info-gap, severe uncertainty

Category 1: Robust Optimization

Citation: Working Paper SM-12-2, Department of Mathematics and Statistics, The University of Melbourne, Melbourne, Victoria, Australia.

Download: [PDF]

Entry Submitted: 09/24/2012
Entry Accepted: 09/24/2012
Entry Last Modified: 09/24/2012

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