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55 results in Optimization, OR and risk

Page 1 of 3

Dynamic Macroeconomic Analysis
  • Theory and Policy in General Equilibrium
  • Edited by Sumru Altug, Jagjit S. Chadha, Charles Nolan
  • Published online:
    13 September 2019
    Print publication:
    20 November 2003
  • Dynamic stochastic general equilibrium (DSGE) models have begun to dominate the field of macroeconomic theory and policy-making. These models describe the evolution of macroeconomic activity as a recursive sequence of outcomes based upon the optimal decision rules of rational households, firms and policy-makers. Whilst posing a micro-founded dynamic optimisation problem for agents under uncertainty, such models have been shown to be both analytically tractable and sufficiently rich for meaningful policy analysis in a wide class of macroeconomic problems, for example, monetary and fiscal policy, economic cycles and growth and capital flows. This volume collects specially commissioned papers from leading researchers, which pull together some of the key results in diverse areas. This book will promote research using optimising models and inform researchers, post-graduate students and economists in policy-oriented organisations of some of the key findings and policy implications.

Self-Control, Decision Theory, and Rationality
  • New Essays
  • Edited by José Luis Bermúdez
  • Published online:
    29 November 2018
    Print publication:
    06 December 2018
  • Thinking about self-control takes us to the heart of practical decision-making, human agency, motivation, and rational choice. Psychologists, philosophers, and decision theorists have all brought valuable insights and perspectives on how to model self-control, on different mechanisms for achieving and strengthening self-control, and on how self-control fits into the overall cognitive and affective economy. Yet these different literatures have remained relatively insulated from each other. Self-Control, Decision Theory, and Rationality brings them into dialog by focusing on the theme of rationality. It contains eleven newly written essays by a distinguished group of philosophers, psychologists, and decision theorists, together with a substantial introduction, collectively offering state-of-the-art perspectives on the rationality of self-control and the different mechanisms for achieving it.

Newcomb's Problem
  • Edited by Arif Ahmed
  • Published online:
    15 October 2018
    Print publication:
    01 November 2018
  • Newcomb's problem is a controversial paradox of decision theory. It is easily explained and easily understood, and there is a strong chance that most of us have actually faced it in some form or other. And yet it has proven as thorny and intractable a puzzle as much older and better-known philosophical problems of consciousness, scepticism and fatalism. It brings into very sharp and focused disagreement several long-standing philosophical theories on practical rationality, on the nature of free will, and on the direction and analysis of causation. This volume introduces readers to the nature of Newcomb's problem, and ten chapters by leading scholars present the most recent debates around the problem and analyse its ramifications for decision theory, metaphysics, philosophical psychology and political science. Their chapters highlight the status of Newcomb's problem as a live and continuing issue in modern philosophy.

Introduction to Numerical Linear Algebra and Optimisation
  • Philippe G. Ciarlet
  • Published online:
    12 October 2018
    Print publication:
    25 August 1989
  • The purpose of this book is to give a thorough introduction to the most commonly used methods of numerical linear algebra and optimisation. The prerequisites are some familiarity with the basic properties of matrices, finite-dimensional vector spaces, advanced calculus, and some elementary notations from functional analysis. The book is in two parts. The first deals with numerical linear algebra (review of matrix theory, direct and iterative methods for solving linear systems, calculation of eigenvalues and eigenvectors) and the second, optimisation (general algorithms, linear and nonlinear programming). The author has based the book on courses taught for advanced undergraduate and beginning graduate students and the result is a well-organised and lucid exposition. Summaries of basic mathematics are provided, proofs of theorems are complete yet kept as simple as possible, and applications from physics and mechanics are discussed. Professor Ciarlet has also helpfully provided over 40 line diagrams, a great many applications, and a useful guide to further reading. This excellent textbook, which is translated and revised from the very successful French edition, will be of great value to students of numerical analysis, applied mathematics and engineering.

Foundations of Multiattribute Utility
  • Ali E. Abbas
  • Published online:
    27 June 2018
    Print publication:
    28 June 2018
  • Many of the complex problems faced by decision makers involve uncertainty as well as multiple conflicting objectives. This book provides a complete understanding of the types of objective functions that should be used in multiattribute decision making. By using tools such as preference, value, and utility functions, readers will learn state-of-the-art methods to analyze prospects to guide decision making and will develop a process that guarantees a defensible analysis to rationalize choices. Summarizing and distilling classical techniques and providing extensive coverage of recent advances in the field, the author offers practical guidance on how to make good decisions in the face of uncertainty. This text will appeal to graduate students and practitioners alike in systems engineering, operations research, business, management, government, climate change, energy, and healthcare.

Dynamic Economic Analysis
  • Deterministic Models in Discrete Time
  • Gerhard Sorger
  • Published online:
    28 May 2018
    Print publication:
    12 February 2015
  • Focusing on deterministic models in discrete time, this concise yet rigorous textbook provides a clear and systematic introduction to the theory and application of dynamic economic models. It guides students through the most popular model structures and solution concepts, from the simplest dynamic economic models through to complex problems of optimal policy design in dynamic general equilibrium frameworks. Chapters feature theorems and practical hints, and seventy-five worked examples highlight the various methods and results that can be applied in dynamic economic models. Notation and formulation is uniform throughout, so students can easily discern the similarities and differences between various model classes. Chapters include more than sixty exercises for students to self-test their analytical skills, and password-protected solutions are available for instructors on the companion website. Assuming no prior knowledge of dynamic economic analysis or dynamic optimization, this textbook is ideal for advanced students in economics.

An Introduction to Decision Theory
  • 2nd edition
  • Martin Peterson
  • Published online:
    28 May 2018
    Print publication:
    30 March 2017
  • Now revised and updated, this introduction to decision theory is both accessible and comprehensive, covering topics including decision making under ignorance and risk, the foundations of utility theory, the debate over subjective and objective probability, Bayesianism, causal decision theory, game theory, and social choice theory. No mathematical skills are assumed, with all concepts and results explained in non-technical and intuitive as well as more formal ways. There are now over 140 exercises with solutions, along with a glossary of key terms and concepts. This second edition includes a new chapter on risk aversion as well as updated discussions of numerous central ideas, including Newcomb's problem, prisoner's dilemmas, and Arrow's impossibility theorem. The book will appeal particularly to philosophy students but also to readers in a range of disciplines, from computer science and psychology to economics and political science.

Predictive Control for Linear and Hybrid Systems
  • Francesco Borrelli, Alberto Bemporad, Manfred Morari
  • Published online:
    28 May 2018
    Print publication:
    22 June 2017
  • Model Predictive Control (MPC), the dominant advanced control approach in industry over the past twenty-five years, is presented comprehensively in this unique book. With a simple, unified approach, and with attention to real-time implementation, it covers predictive control theory including the stability, feasibility, and robustness of MPC controllers. The theory of explicit MPC, where the nonlinear optimal feedback controller can be calculated efficiently, is presented in the context of linear systems with linear constraints, switched linear systems, and, more generally, linear hybrid systems. Drawing upon years of practical experience and using numerous examples and illustrative applications, the authors discuss the techniques required to design predictive control laws, including algorithms for polyhedral manipulations, mathematical and multiparametric programming and how to validate the theoretical properties and to implement predictive control policies. The most important algorithms feature in an accompanying free online MATLAB toolbox, which allows easy access to sample solutions. Predictive Control for Linear and Hybrid Systems is an ideal reference for graduate, postgraduate and advanced control practitioners interested in theory and/or implementation aspects of predictive control.

Convex Optimization of Power Systems
  • Joshua Adam Taylor
  • Published online:
    28 May 2018
    Print publication:
    12 February 2015
  • Optimization is ubiquitous in power system engineering. Drawing on powerful, modern tools from convex optimization, this rigorous exposition introduces essential techniques for formulating linear, second-order cone, and semidefinite programming approximations to the canonical optimal power flow problem, which lies at the heart of many different power system optimizations. Convex models in each optimization class are then developed in parallel for a variety of practical applications like unit commitment, generation and transmission planning, and nodal pricing. Presenting classical approximations and modern convex relaxations side-by-side, and a selection of problems and worked examples, this is an invaluable resource for students and researchers from industry and academia in power systems, optimization, and control.

Optimization Models
  • Giuseppe C. Calafiore, Laurent El Ghaoui
  • Published online:
    28 May 2018
    Print publication:
    31 October 2014
  • Emphasizing practical understanding over the technicalities of specific algorithms, this elegant textbook is an accessible introduction to the field of optimization, focusing on powerful and reliable convex optimization techniques. Students and practitioners will learn how to recognize, simplify, model and solve optimization problems - and apply these principles to their own projects. A clear and self-contained introduction to linear algebra demonstrates core mathematical concepts in a way that is easy to follow, and helps students to understand their practical relevance. Requiring only a basic understanding of geometry, calculus, probability and statistics, and striking a careful balance between accessibility and rigor, it enables students to quickly understand the material, without being overwhelmed by complex mathematics. Accompanied by numerous end-of-chapter problems, an online solutions manual for instructors, and relevant examples from diverse fields including engineering, data science, economics, finance, and management, this is the perfect introduction to optimization for undergraduate and graduate students.

Improving Homeland Security Decisions
  • Edited by Ali E. Abbas, Milind Tambe, Detlof von Winterfeldt
  • Published online:
    13 December 2017
    Print publication:
    02 November 2017
  • What are the risks of terrorism and what are their consequences and economic impacts? Are we safer from terrorism today than before 9/11? Does the government spend our homeland security funds well? These questions motivated a twelve-year research program of the National Center for Risk and Economic Analysis of Terrorism Events (CREATE) at the University of Southern California, funded by the Department of Homeland Security. This book showcases some of the most important results of this research and offers key insights on how to address the most important security problems of our time. Written for homeland security researchers and practitioners, this book covers a wide range of methodologies and real-world examples of how to reduce terrorism risks, increase the efficient use of homeland security resources, and thereby make better decisions overall.

Decision Theory with a Human Face
  • Richard Bradley
  • Published online:
    11 October 2017
    Print publication:
    26 October 2017
  • When making decisions, people naturally face uncertainty about the potential consequences of their actions due in part to limits in their capacity to represent, evaluate or deliberate. Nonetheless, they aim to make the best decisions possible. In Decision Theory with a Human Face, Richard Bradley develops new theories of agency and rational decision-making, offering guidance on how 'real' agents who are aware of their bounds should represent the uncertainty they face, how they should revise their opinions as a result of experience and how they should make decisions when lacking full awareness of, or precise opinions on relevant contingencies. He engages with the strengths and flaws of Bayesian reasoning, and presents clear and comprehensive explorations of key issues in decision theory, from belief and desire to semantics and learning. His book draws on philosophy, economics, decision science and psychology, and will appeal to readers in all of these disciplines.

Financial Enterprise Risk Management
  • 2nd edition
  • Paul Sweeting
  • Published online:
    12 August 2017
    Print publication:
    07 August 2017
  • This comprehensive, yet accessible, guide to enterprise risk management for financial institutions contains all the tools needed to build and maintain an ERM framework. It discusses the internal and external contexts with which risk management must be carried out, and it covers a range of qualitative and quantitative techniques that can be used to identify, model and measure risks. This new edition has been thoroughly updated to reflect new legislation and the creation of the Financial Conduct Authority and the Prudential Regulation Authority. It includes new content on Bayesian networks, expanded coverage of Basel III, a revised treatment of operational risk and a fully revised index. Over 100 diagrams are used to illustrate the range of approaches available, and risk management issues are highlighted with numerous case studies. This book also forms part of the core reading for the UK actuarial profession's specialist technical examination in enterprise risk management, ST9.

Convex Optimization
  • Stephen Boyd, Lieven Vandenberghe
  • Published online:
    05 August 2016
    Print publication:
    08 March 2004
  • Convex optimization problems arise frequently in many different fields. This book provides a comprehensive introduction to the subject, and shows in detail how such problems can be solved numerically with great efficiency. The book begins with the basic elements of convex sets and functions, and then describes various classes of convex optimization problems. Duality and approximation techniques are then covered, as are statistical estimation techniques. Various geometrical problems are then presented, and there is detailed discussion of unconstrained and constrained minimization problems, and interior-point methods. The focus of the book is on recognizing convex optimization problems and then finding the most appropriate technique for solving them. It contains many worked examples and homework exercises and will appeal to students, researchers and practitioners in fields such as engineering, computer science, mathematics, statistics, finance and economics.

Rational Decision and Causality
  • Ellery Eells
  • Published online:
    05 July 2016
    Print publication:
    26 August 2016
  • First published in 1982, Ellery Eells' original work on rational decision making had extensive implications for probability theorists, economists, statisticians and psychologists concerned with decision making and the employment of Bayesian principles. His analysis of the philosophical and psychological significance of Bayesian decision theories, causal decision theories and Newcomb's paradox continues to be influential in philosophy of science. His book is now revived for a new generation of readers and presented in a fresh twenty-first-century series livery, including a specially commissioned preface written by Brian Skyrms, illuminating its continuing importance and relevance to philosophical enquiry.

The Prisoner's Dilemma
  • Edited by Martin Peterson
  • Published online:
    05 July 2015
    Print publication:
    02 July 2015
  • The Prisoner's Dilemma is one of the most fiercely debated thought experiments in philosophy and the social sciences, presenting the simple insight that when two or more agents interact, the actions that most benefit each individual may not benefit the group. The fact that when you do what is best for you, and I do what is best for me, we end up in a situation that is worse for both of us makes the Prisoner's Dilemma relevant to a broad range of everyday phenomena. This volume of new essays from leading philosophers, game theorists, and economists examines the ramifications of the Prisoner's Dilemma, the directions in which it continues to lead us, and its links to a variety of topics in philosophy, political science, social science, economics, and evolutionary biology. The volume will be a vital and accessible resource for upper-level students as well as for academic researchers.

Models of Decision-Making
  • Simplifying Choices
  • Paul Weirich
  • Published online:
    05 January 2015
    Print publication:
    05 February 2015
  • Classical decision theory evaluates entire worlds, specified so as to include everything a decision-maker cares about. Thus applying decision theory requires performing computations far beyond an ordinary decision-maker's ability. In this book Paul Weirich explains how individuals can simplify and streamline their choices. He shows how different 'parts' of options (intrinsic, temporal, spatiotemporal, causal) are separable, so that we can know what difference one part makes to the value of an option, regardless of what happens in the other parts. He suggests that the primary value of options is found in basic intrinsic attitudes towards outcomes: desires, aversions, or indifferences. And using these two facts he argues that we need only compare small parts of the options we face in order to make a rational decision. This important book will interest readers in decision theory, economics, and the behavioral sciences.

Convex Optimization
  • Stephen Boyd, Lieven Vandenberghe
  • Published online:
    05 August 2013
    Print publication:
    08 March 2004
  • Convex optimization problems arise frequently in many different fields. This book provides a comprehensive introduction to the subject, and shows in detail how such problems can be solved numerically with great efficiency. The book begins with the basic elements of convex sets and functions, and then describes various classes of convex optimization problems. Duality and approximation techniques are then covered, as are statistical estimation techniques. Various geometrical problems are then presented, and there is detailed discussion of unconstrained and constrained minimization problems, and interior-point methods. The focus of the book is on recognizing convex optimization problems and then finding the most appropriate technique for solving them. It contains many worked examples and homework exercises and will appeal to students, researchers and practitioners in fields such as engineering, computer science, mathematics, statistics, finance and economics.

Boolean Models and Methods in Mathematics, Computer Science, and Engineering
  • Edited by Yves Crama, Peter L. Hammer
  • Published online:
    05 June 2013
    Print publication:
    28 June 2010
  • This collection of papers presents a series of in-depth examinations of a variety of advanced topics related to Boolean functions and expressions. The chapters are written by some of the most prominent experts in their respective fields and cover topics ranging from algebra and propositional logic to learning theory, cryptography, computational complexity, electrical engineering, and reliability theory. Beyond the diversity of the questions raised and investigated in different chapters, a remarkable feature of the collection is the common thread created by the fundamental language, concepts, models, and tools provided by Boolean theory. Many readers will be surprised to discover the countless links between seemingly remote topics discussed in various chapters of the book. This text will help them draw on such connections to further their understanding of their own scientific discipline and to explore new avenues for research.

An Introduction to Decision Theory
  • Martin Peterson
  • Published online:
    05 June 2013
    Print publication:
    14 May 2009
  • This introduction to decision theory offers comprehensive and accessible discussions of decision-making under ignorance and risk, the foundations of utility theory, the debate over subjective and objective probability, Bayesianism, causal decision theory, game theory, and social choice theory. No mathematical skills are assumed, and all concepts and results are explained in non-technical and intuitive as well as more formal ways. There are over 100 exercises with solutions, and a glossary of key terms and concepts. An emphasis on foundational aspects of normative decision theory (rather than descriptive decision theory) makes the book particularly useful for philosophy students, but it will appeal to readers in a range of disciplines including economics, psychology, political science and computer science.

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