Article ID: | iaor19972149 |
Country: | Netherlands |
Volume: | 73 |
Issue: | 2 |
Start Page Number: | 304 |
End Page Number: | 318 |
Publication Date: | Mar 1994 |
Journal: | European Journal of Operational Research |
Authors: | Rustem Ber |
Keywords: | stochastic processes, economics, programming: parametric, control processes |
This paper uses a robust policy concept that is an extension to nonlinear systems of the mean-variance approach for linear models. In the linear case, the approach reduces to the minimization of a convex combination of the mean and variance of the stochastic problem. The paper also discusses a method for computing expectations of nonlinear systems based on evaluating the bias from certainty equivalence using Monte Carlo simulations. This method computes robust strategies. If desired, these can be in the form of