Alternative measures of risk of extreme events in decision trees

Alternative measures of risk of extreme events in decision trees A need for a methodology to control the extreme events, defined as low-probability, high-consequence incidents, in sequential decisions is identified. A variety of alternative and complementary measures of the risk of extreme events are examined for their usability as objective functions in sequential decisions, represented as single- or multiple-objective decision trees. Earlier work had addressed difficulties, related to non-separability, with the minimization of some measures of the risk of extreme events in sequential decisions. In an extension of these results, it is shown how some non-separable measures of the risk of extreme events can be interpreted in terms of separable constituents of risk, thereby enabling a wider class of measures of the risk of extreme events to be handled in a straightforward manner in a decision tree. Also for extreme events, results are given to enable minimax- and Hurwicz-criterion analyses in decision trees. An example demonstrates the incorporation of different measures of the risk of extreme events in a multi-objective decision tree. Conceptual formulations for optimizing non-separable measures of the risk of extreme events are identified as an important area for future investigation. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Reliability Engineering and System Safety Elsevier

Alternative measures of risk of extreme events in decision trees

Loading next page...
 
/lp/elsevier/alternative-measures-of-risk-of-extreme-events-in-decision-trees-7LrpFXbAiC
Publisher
Elsevier
Copyright
Copyright © 1999 Elsevier Science Ltd
ISSN
0951-8320
eISSN
1879-0836
DOI
10.1016/S0951-8320(99)00022-8
Publisher site
See Article on Publisher Site

Abstract

A need for a methodology to control the extreme events, defined as low-probability, high-consequence incidents, in sequential decisions is identified. A variety of alternative and complementary measures of the risk of extreme events are examined for their usability as objective functions in sequential decisions, represented as single- or multiple-objective decision trees. Earlier work had addressed difficulties, related to non-separability, with the minimization of some measures of the risk of extreme events in sequential decisions. In an extension of these results, it is shown how some non-separable measures of the risk of extreme events can be interpreted in terms of separable constituents of risk, thereby enabling a wider class of measures of the risk of extreme events to be handled in a straightforward manner in a decision tree. Also for extreme events, results are given to enable minimax- and Hurwicz-criterion analyses in decision trees. An example demonstrates the incorporation of different measures of the risk of extreme events in a multi-objective decision tree. Conceptual formulations for optimizing non-separable measures of the risk of extreme events are identified as an important area for future investigation.

Journal

Reliability Engineering and System SafetyElsevier

Published: Oct 1, 1999

References

  • Multiple criteria decision making
    Zeleny, M.
  • Probability distributions and their partitioning
    Karlsson, P.O.; Haimes, Y.Y.
  • Risk assessment of extreme events: application
    Karlsson, P.O.; Haimes, Y.Y.
  • Approximating catastrophic risk through statistics of extremes
    Mitsiopoulos, J.; Haimes, Y.Y.; Li, D.
  • Portfolio selection
    Markowitz, H.
  • Stochastic dominance
    Whitmore, G.A.; Findlay, M.C.

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create folders to
organize your research

Export folders, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off