Making Robust Decisions in Discrete Optimization Problems as a Game against Nature
|Title:||Making Robust Decisions in Discrete Optimization Problems as a Game against Nature|
|Journal or Publication Title:|
AUCO Czech Economic Review, 2, 3, pp. 237-251
|Uncontrolled Keywords:||Discrete optimizatio, minmax, minmax regret, game against nature|
In this paper a discrete optimization problem under uncertainty is discussed. Solving such a problem can be seen as a game against nature. In order to choose a solution, the minmax and minmax regret criteria can be applied. In this paper an extension of the known minmax (regret) approach is proposed. It is shown how different types of uncertainty can be simultaneously taken into account. Some exact and approximation algorithms for choosing a best solution are constructed.