Analysis of Impact of Covariates Entering Stochastic Optimization Problem

0561011 - ÚTIA 2023 RIV CZ eng K - Konferenční příspěvek (tuzemská konf.)
Volf, Petr
Analysis of Impact of Covariates Entering Stochastic Optimization Problem.
Proceedingsof the 40th International Conference Mathematical Methods in Economics 2022. Jihlava: College of Polytechnics Jihlava, 2022 - (Vojáčková, H.), s. 398-404. ISBN 978-80-88064-62-6.
[International Conference Mathematical Methods in Economics 2022 /40./. Jihlava (CZ), 07.09.2022-09.09.2022]
Grant CEP: GA ČR GA18-02739S
Institucionální podpora: RVO:67985556
Klíčová slova: stochastic optimization * regression model * statistical estimation
Obor OECD: Statistics and probability
http://library.utia.cas.cz/separaty/2022/SI/volf-0561011.pdf

In the contribution we study consequences of imperfect information to precision of stochastic optimization solution. In particular, it is assumed that the characteristics of optimization problem are influenced by a set of covariates. This dependence is described via a regression model. Hence, the uncertainty is then caused by statistical estimation of regression parameters. The contribution will analyze several regression model cases, together with their application. Precision of results will be explored, both theoretically as well as with the aid of simulations.
Trvalý link: https://hdl.handle.net/11104/0333905