BIRS Workshop Lecture Videos
Risk and Complexity in Scenario Optimization Campi, Marco
In scenario optimization, decisions are made in the light of past situations (or scenarios), and the “risk” associated to a scenario decision refers to the possibility that the decision does not perform as expected in a new case at hand. In the presentation, we will discuss a deep, and universal, link that relates the risk to the “complexity” of the decision, where complexity is a concept associated to the amount of information by which the decision can be constructed. This theoretical result provides a support to the use of inductive methods in decision making problems.
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