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首页> 外文期刊>IEEE transactions on systems, man, and cybernetics. Part A >Stochastic minimax decision rules for risk of extreme events
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Stochastic minimax decision rules for risk of extreme events

机译：极端事件风险的随机最小极大决策规则

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We use the theory of order statistics, the concepts of first- and second-order stochastic dominance (FSD and SSD) to develop an order statistics SSD minimax decision rule. It can be used to refine choice within the random variables in the SSD noninferior set. We are able to reduce the size of the SSD noninferior set when we assume that the decision-maker is most concerned about the potential adverse outcomes at the right tail of the probability distribution. In other words, we consider the risk of extreme events and build on order statistics in order to refine the decision rules. In some eases, the order statistics SSD minimax decision rule can provide us with a unique choice from among the SSD noninferior set. We define the concept of conditional second-order stochastic dominance (CSSD) in order to model the risk of extreme events. We also use the concept of CSSD to develop a CSSD minimax decision rule.
机译：我们使用阶数统计理论，一阶和二阶随机优势（FSD和SSD）的概念来开发阶数统计SSD minimax决策规则。它可用于在SSD非劣集的随机变量中优化选择。当我们假设决策者最关注概率分布右尾的潜在不利结果时，我们可以减小SSD下等组的大小。换句话说，我们考虑极端事件的风险，并基于订单统计信息来完善决策规则。在某些情况下，订单统计数据SSD minimax决策规则可以为我们提供SSD非劣组中的唯一选择。为了定义极端事件的风险，我们定义了条件二阶随机优势（CSSD）的概念。我们还使用CSSD的概念来开发CSSD minimax决策规则。

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