Computing Minimax Decisions with Incomplete Observations

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Thijs van Ommen ;
Proceedings of the Tenth International Symposium on Imprecise Probability: Theories and Applications, PMLR 62:358-369, 2017.

Abstract

Decision makers must often base their decisions on incomplete (coarse) data. Recent research has shown that in a wide variety of coarse data problems, minimax optimal strategies can be recognized using a simple probabilistic condition. This paper develops a computational method to find such strategies in special cases, and shows what difficulties may arise in more general cases.

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