An algorithm for calculating Γ-minimax decision rules under generalized moment conditions
广义矩条件下计算Γ极小极大决策规则的算法
We present an algorithm for calculating a $\Gamma$-minimax decision rule, when is given by a finite number of generalized moment conditions. Such a decision rule minimizes the maximum of the integrals of the risk function with respect to all distributions in $\Gamma$. The inner maximization problem is approximated by a sequence of linear programs. This approximation is combined with an elimination technique which quickly reduces the domain of the variables of the outer…