Coping with Uncertainty: Modeling and Policy Issues

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Kurt Marti, Yuri Ermoliev, Marek Makowski, Georg Pflug
Springer Science & Business Media, Nov 23, 2006 - Business & Economics - 330 pages
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Ongoing global changes bring fundamentally new scientific problems requiring
new concepts and tools. A key issue concerns a vast variety of practically
irreducible uncertainties, which challenge our traditional models and require
new concepts and analytical tools. The uncertainty critically dominates, e.g.,
the climate change debates. In short, the dilemma is concerned with enormous
costs vs. massive uncertainties of potential extreme impacts.
Traditional scientific approaches usually rely on real observations and
experiments. Yet no sufficient observations exist for new problems, and "pure"
experiments and learning by doing may be very expensive, dangerous, or
simply impossible. In addition, available historical observations are contaminated
by actions, policies. The complexity of new problems does not allow to achieve
enough certainty by increasing the resolution of models or by bringing in more links.
Hence, new tools for modeling and management of uncertainty are needed, as given
in this book which was prepared for an interdisciplinary audience, and addresses open
problems, limitations of known approaches, novel methods and techniques, or lessons
from the applications of various approaches. Thus, the book contributes to a better
understanding between practitioners dealing with the management of uncertainty, and
scientists working on either corresponding modeling approaches that can be applied for
improving understanding or management of uncertainty.


 

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Contents

Facets of Robust Decisions
3
Temporal Spatial and Social Heterogeneities
18
Stochastic Dedicated Bond Portfolio Management
31
Conclusions
44
Conclusions
60
References
82
Examples
96
SWISSRE Casualties Table
112
Characteristic Models
224
Conclusions
238
References
254
Statistical Verification of the Optimality Hypothesis
262
Numerical Study of Algorithms
271
Discussion and Conclusions
277
A General Model
285
Extensions to the Basic Model
292

Related Work
128
Existence of a Competitive Equilibrium
146
a Dual Approach
147
References
153
Sequential Downscaling Methods
160
Concluding Remarks
167
Solution of the Problem
174
Conclusions
182
Simplified Model
189
Modeling Approach and a Motivating Example
197
Implementation
209
XII
211
Stochasticity in Electric Energy Systems Planning
217
Concluding Remarks
298
Pricing Related Projects S D Flam H I Gassmann
301
Pooling of SingleStage Linear Problems Subject to Uncertainty
303
Pricing of Linear Investment Projects
306
Project Portfolios and Core Solutions
307
Stochastic Production Games
311
References
312
The Willingness to Accept Costs to Avert Uncertain Danger C Weiss
315
Scales of Subjective Uncertainty
316
The Precautionary Principle and the Willingness to Incur Costs
318
A Proposed Principle of Innovation and Adaptive Management
322
A Framework for Balanced Precaution
324
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About the author (2006)

Univ.Prof. Kurt Marti studierte Mathematik und Physik an der UniversitAt ZA1/4rich. Nach dem Diplom wechselte er an die UniversitAt Mannheim, wo er zum Dr.sc.math. promovierte. AnschlieAend war er als Wissenschaftlicher Mitarbeiter und Dozent an der UniversitAt ZA1/4rich tAtig. Es folgte ein Aufenthalt als Visiting Associate Professor an der University of Kentucky in Lexington, Ky, USA. Er wurde dann auf die Professur fA1/4r HAhere Mathematik und Operations Research an der FakultAt fA1/4r Luft- und Raumfahrttechnik der UniversitAt der Bundeswehr MA1/4nchen berufen. SpAter erfolgte der Ruf auf die Professur fA1/4r Ingenieurmathematik an derselben UniversitAt. Sein Forschungsgebiet ist die Stochastische Optimierung, wobei approximative LAsungsverfahren und insbesondere Anwendungen im Ingenieurwesen im Vordergrund stehen. Eine Aoebersicht A1/4ber die Publikationen von Prof. Marti und seiner Arbeitsgruppe auf verschiedenen Gebieten der Stochastischen Optimierung und ihren Anwendungen in der Strukturoptimierung sowie in der Robotik findet man auf der Webseite: http: //www.stoch.net. Prof. Marti ist Chairman des GAMM-Fachausschusses "Optimierung und Angewandte Stochastik" und Chairman der IFIP Working Group WG7.7 "Stochastic Optimization.