Počet záznamů: 1
Empirical estimates in stochastic programs with probability and second order stochastic dominance constraints
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SYSNO ASEP 0454495 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve SCOPUS Název Empirical estimates in stochastic programs with probability and second order stochastic dominance constraints Tvůrce(i) Omelchenko, Vadym (UTIA-B)
Kaňková, Vlasta (UTIA-B) RIDZdroj.dok. Acta Mathematica Universitas Comenianae - ISSN 0862-9544
Roč. 84, č. 2 (2015), s. 267-281Poč.str. 15 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. SK - Slovensko Klíč. slova Stochastic programming problems ; empirical estimates ; light and heavy tailed distributions ; quantiles Vědní obor RIV BB - Aplikovaná statistika, operační výzkum CEP GA13-14445S GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 EID SCOPUS 84940989349 Anotace Stochastic optimization problems with an operator of the mathematical expectation in the objective function, probability and stochastic dominance constraints belong to “deterministic” problems depending on a probability measure. Complete knowledge of the probability measure is a necessary condition for solving these problems. However, since this assumption is very rarely fulfilled (in applications), problems are mostly solved on the basis of data. Mathematically it means that the “underlying” probability measure is replaced by an empirical one (determined by the corresponding data). Stochastic estimates of an optimal value and an optimal solution can only then be obtained. Properties of these estimates have been investigated many times, mostly in the case of constraint sets not depending on the probability measure. Our results generalize such estimates to two separate cases (already mentioned above) when the constraint sets do depend on the probability measure. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2016
Počet záznamů: 1