Počet záznamů: 1
Nonlinear Functionals in Stochastic Programming; A Note on Stability and Empirical Estimatest
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SYSNO ASEP 0348202 Druh ASEP C - Konferenční příspěvek (mezinárodní konf.) Zařazení RIV D - Článek ve sborníku Název Nonlinear Functionals in Stochastic Programming; A Note on Stability and Empirical Estimatest Tvůrce(i) Kaňková, Vlasta (UTIA-B) RID Celkový počet autorů 1 Zdroj.dok. Quantitative Methods in Economics (Multiple Criteria Decision Making XV). - Bratislava, SR : University of Economics, Bratislava, 2010 / Reiff Marian - ISBN 978-80-8078-364-8 Rozsah stran s. 96-106 Poč.str. 11 s. Akce Quantitative Methods in Economics (Multiple Criteria Decision Making) Datum konání 06.10.2010-08.10.2010 Místo konání Smolenice Země SK - Slovensko Typ akce EUR Jazyk dok. eng - angličtina Země vyd. SK - Slovensko Klíč. slova Optimization problems with a random element ; One stage stochastic programming problems ; Multistage stochastic programming problems ; Linear and nonlinear functionals ; Risk measures Vědní obor RIV BB - Aplikovaná statistika, operační výzkum CEP GAP402/10/0956 GA ČR - Grantová agentura ČR GAP402/10/1610 GA ČR - Grantová agentura ČR GA402/08/0107 GA ČR - Grantová agentura ČR CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000315405300010 Anotace Economic processes are very often influenced simultaneously by a decision parameter (that can be chosen according to conditions) and a random factor. Since mostly it is necessary to determine the decision parameter without knowledge of a random element realization, a deterministic optimization problem has to be defined. This deterministic problem can usually depend on an ``underlying" probability measure corresponding to the random element. The investigation of such types problems often belong to the stochastic programming field. The great attention has been focus on the problems in which objective functions depend ``linearly" on the probability measure. This note is focus on the cases when the above mentioned assumption is not fulfilled; see e.g. Markowitz functionals or some risk measures. We try to cover static (one stage problems) as well as dynamic approaches (multistage stochastic programming case Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2011
Počet záznamů: 1