Optimal decisions robust to future uncertainties are considered. Both continuous and discrete sets of scenarios are discussed with algorithms for solving both cases. In the case of the former a quasi-Newton algorithm is discussed and in the case of the latter, a fast and easily implementable...

The General Linear Model (GLM) is the parent model of econometrics. Simultaneous equations and seemingly unrelated regression equation (SURE) models, to name but a few, can be formulated as a GLM. The estimation of the GLM can be viewed as a Generalized Linear Least-Squares problem (GLLSP). The...