Convexity in stochastic programming model with indicators of ecological stability

0382158 - ÚTIA 2013 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
Houda, Michal
Convexity in stochastic programming model with indicators of ecological stability.
Proceedings of 30th International Conference Mathematical Methods in Economics. Karviná: Silesian University in Opava, School of Business Administration in Karviná, 2012 - (Ramík, J.; Stavárek, D.), s. 314-319. ISBN 978-80-7248-779-0.
[30th International Conference Mathematical Methods in Economics 2012. Karviná (CZ), 11.09.2012-13.09.2012]
Grant CEP: GA ČR GAP402/10/0956
Institucionální podpora: RVO:67985556
Klíčová slova: stochastic programming * convexity * value-at-risk models
Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
http://library.utia.cas.cz/separaty/2012/E/houda-convexity in stochastic programming model with indicators of ecological stability.pdf

We develop an optimization model dealing with construction expenses that are prescribed as a result of the EIA (Environmental Impact Assessment) process. The process is an obligatory part of every large construction project and evaluates possible influences of the project to the environment, including population health, natural and other socio-economic aspects; the result of the process is a set of recommendation and arrangements the construction must meet. Our optimization model incorporates uncertainties in model parameters; we represent them through their probabilistic distribution. Furthermore, to overcome a problem with quantifying subjective utility function of ecological impacts, we measure them by so-called indicators of ecological stability. The resulting problem is stochastic programming problem formulated as (C)VaR model used traditionally in finance area. In our contribution we deal with convexity properties of this problem – these are especially important from the theoretical as well as from the computational point of view.
Trvalý link: http://hdl.handle.net/11104/0212459