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Vortrag Anne Balter

Titel: Sets of Indistinguishable Models for Robust Optimization
Wann 22.03.2016
von 16:00 bis 17:00
Wo Raum 232, Eckerstr. 1
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Dr. Balter will talk about this interesting topic.

Abstract:

Models can be wrong and recognising their limitations is
important in financial and economic decision making under
uncertainty. Finding the explicit specification of the
uncertainty set has been difficult so far. We develop a
method that provides a plausible set of models to use in
robust decision making. The choice of the specific size
of the uncertainty region is what we will focus on. We use
the Neyman-Pearson Lemma to characterize a set of models
that cannot be distinguished statistically from a
baseline model. The set of indistinguishable models can
explicitly be obtained for a given probability for the type
I and II error.

 

 

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