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TIMES stochastic: help!
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Thank you for the information Antti!  It seems like the minimax regret approach is inspired by robust optimisation -

I believe the method can give quite conservative solutions, and I hope to compare this method with a more standard stochastic formulation in the future.


The minimax regret approach is to minimize the worst-case regret.

Published work, using this model formulation:

Loulou R. & Kanudia A. "Minimax regret strategies for greenhouse gas abatement: methodology and application", Operations Research Letters, 25: 219–230.  They explain the motivation as follows:

The Minimax Regret criterion, also known as Savage criterion, is one of the more credible criteria for selecting decisions under uncertainty, i.e. when the likelihoods of the various possible outcomes are not known with sufficient precision to use the classical expected value or expected utility criteria.

The only risk-avert formulation fully supported in TIMES is the "Expected utility criterion with linearized risk aversion". The simplistic experimental support for using the Minimax criterion in TIMES was added only because it was easy to add, and some of the primary designers of TIMES, prof. Richard Loulou and Dr. Amit Kanudia, have advertised this criterion in some of their papers.

Messages In This Thread
TIMES stochastic: help! - andrewmortimer - 17-11-2017, 10:28 PM
RE: TIMES stochastic: help! - Antti-L - 20-11-2017, 11:18 PM
RE: TIMES stochastic: help! - Antti-L - 21-11-2017, 09:18 PM
RE: TIMES stochastic: help! - Pernille.S - 08-05-2018, 12:23 AM
RE: TIMES stochastic: help! - Antti-L - 08-05-2018, 02:00 PM
RE: TIMES stochastic: help! - Pernille.S - 09-05-2018, 12:31 PM

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