8. Optimising Under Uncertainty: Economics and Computational Challenges

  1. Etienne de Rocquigny

Published Online: 11 APR 2012

DOI: 10.1002/9781119969495.ch8

Modelling Under Risk and Uncertainty: An Introduction to Statistical, Phenomenological and Computational Methods

Modelling Under Risk and Uncertainty: An Introduction to Statistical, Phenomenological and Computational Methods

How to Cite

de Rocquigny, E. (2012) Optimising Under Uncertainty: Economics and Computational Challenges, in Modelling Under Risk and Uncertainty: An Introduction to Statistical, Phenomenological and Computational Methods, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/9781119969495.ch8

Author Information

  1. Ecole Centrale Paris, Université Paris-Saclay, France

Publication History

  1. Published Online: 11 APR 2012
  2. Published Print: 20 APR 2012

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470695142

Online ISBN: 9781119969495

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Keywords:

  • optimising under uncertainty;
  • getting the costs, inside risk modelling;
  • costs of uncertainty;
  • role of time–cash flows;
  • discounting;
  • computational challenges, optimisation;
  • computation, robustness challenges;
  • high performance computing;
  • computational load of risk, uncertainty modelling;
  • high-performance computing potential

Summary

This chapter contains sections titled:

  • Getting the costs inside risk modelling – from engineering economics to financial modelling

  • The role of time – cash flows and associated risk measures

  • Computational challenges associated to optimisation

  • The promise of high performance computing

  • Exercises

  • References