Coping with Uncertainty: Modeling and Policy Issues

Preface......Page 5
Contents......Page 8
Part I - Uncertainty and Decisions......Page 13
1 Introduction......Page 14
2 Concepts of Robustness......Page 16
3 Decision Problems Under Uncertainty......Page 18
4 Uncertainty Modeling......Page 21
5 Robust Stochastic Optimization......Page 25
6 Temporal, Spatial and Social Heterogeneities......Page 29
7 STO Methods for Robust Solutions......Page 31
8 Sensitivity of Robust Strategies......Page 33
9 Concluding Remarks......Page 36
1 Introduction......Page 40
2 Motivation: Stochastic Dedicated Bond Portfolio Management......Page 42
3 Contamination and Stress Testing......Page 43
4 Contamination and Stress Testing for CVaR......Page 50
5 Conclusions......Page 55
1 Introduction......Page 58
2Context......Page 60
3 Uncertainty and Risk......Page 61
4 Structured Modeling......Page 65
5 Conclusions......Page 71
Part II - Modeling Stochastic Uncertainty......Page 76
1 Introduction......Page 77
2 Direct Monte Carlo Simulation......Page 79
3 Variance Reduction Techniques......Page 80
4 Computational E.ciency Issues......Page 84
5 Applications......Page 86
6 Closing Remarks......Page 91
Explicit Methods for the Computation of Structural Reliabilities in Stochastic Plastic Analysis......Page 94
1 Stochastic Plasticity Analysis......Page 95
2 First Order Reliability Method (FORM)......Page 99
3 Response Surface Method......Page 100
4 Examples......Page 105
5 Conclusions......Page 111
1 WMO-Release 695......Page 113
2 Extreme Value Statistics......Page 114
3 SWISS-RE Casualties Table......Page 120
4 Concluding Remarks......Page 124
1 Introduction......Page 126
2 Representation......Page 127
3 Scene Interpretation......Page 132
5Conclusion......Page 135
Part III - Non-Probabilistic Uncertainty......Page 138
1 Introduction......Page 139
2 The Continuum of Agents: Distribution of Spatial and Social Characteristics......Page 142
3 Producer Behavior......Page 145
4 Consumer Behavior......Page 148
5 Existence of a Competitive Equilibrium......Page 152
6 Spatial Welfare Optimum: a Dual Approach......Page 153
7 Deterministic Versus Stochastic Welfare T\Zatonnement......Page 157
1 Introduction......Page 161
2 Downscaling Problems: Motivating Examples......Page 163
3 Sequential Downscaling Methods......Page 166
4 Minimax Likelihood and Maximum Entropy......Page 169
5 Practical Applications......Page 171
6 Concluding Remarks......Page 173
1 Introduction......Page 176
2 Statement of the Problem......Page 177
3 Transformations......Page 178
4 Solution of the Problem......Page 179
6 Examples......Page 182
7 Conclusions......Page 187
1 Introduction......Page 189
2 Generalized Pathologic Process......Page 190
3 Simpli.ed Model......Page 193
4 Uncertainties......Page 194
5 Conclusions......Page 196
Part IV - Applications of Stochastic Optimization......Page 197
1 Introduction......Page 198
2 Modeling Approach and a Motivating Example......Page 200
3 Model Structure......Page 204
4 Implementation......Page 212
5 Concluding Observations......Page 214
1 Introduction......Page 220
2 Uncertainty Impact......Page 221
3 Estimation Methods......Page 223
4 Decision Making Methods......Page 225
5 Characteristic Models......Page 227
6 Conclusions......Page 241
1 Introduction......Page 243
2 The Stochastic Programming Model of PERT......Page 244
3 Numerical Results......Page 245
1 Introduction......Page 258
2 Stochastic Di.erentiation and Monte-Carlo Estimators......Page 260
3 Statistical Veri.cation of the Optimality Hypothesis......Page 263
4 Optimization by Monte-Carlo Estimators with Sample Size Regulation......Page 266
5 Numerical Study of Algorithms......Page 272
6 Discussion and Conclusions......Page 278
Part V - Policy Issues Under Uncertainty......Page 281
1 Introduction......Page 282
2 Endogenous Climate Change Risk: A General Model......Page 284
3 A Basic Model with Linear Cost Functions......Page 287
4 Extensions to the Basic Model......Page 291
5 A Dynamic Stabilization Problem......Page 295
6 Concluding Remarks......Page 297
1 Introduction......Page 300
2 Pooling of Single-Stage Linear Problems Subject to Uncertainty......Page 302
3 Pricing of Linear Investment Projects......Page 305
4 Project Portfolios and Core Solutions......Page 306
6 Concluding Remarks......Page 310
1 Introduction......Page 313
2 Scales of Subjective Uncertainty......Page 314
3 The Precautionary Principle and the Willingness to Incur Costs......Page 316
4 A Proposed Principle of Innovation and Adaptive Management......Page 320
5 Conclusion: A Framework for Balanced Precaution......Page 322