By Topic

Stochastic minimax decision rules for risk of extreme events

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

3 Author(s)
Ganghuai Wang ; Virginia Univ., Charlottesville, VA, USA ; Lambert, J.H. ; Haimes, Y.Y.

We use the theory of order statistics, the concepts of first- and second-order stochastic dominance (FSD and SSD) to develop an order statistics SSD minimax decision rule. It can be used to refine choice within the random variables in the SSD noninferior set. We are able to reduce the size of the SSD noninferior set when we assume that the decision-maker is most concerned about the potential adverse outcomes at the right tail of the probability distribution. In other words, we consider the risk of extreme events and build on order statistics in order to refine the decision rules. In some eases, the order statistics SSD minimax decision rule can provide us with a unique choice from among the SSD noninferior set. We define the concept of conditional second-order stochastic dominance (CSSD) in order to model the risk of extreme events. We also use the concept of CSSD to develop a CSSD minimax decision rule

Published in:

Systems, Man and Cybernetics, Part A: Systems and Humans, IEEE Transactions on  (Volume:29 ,  Issue: 6 )