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A note on quantitative stability and empirical estimates in stochastic programming
- 1.0411038 - UTIA-B 20030025 RIV DE eng C - Conference Paper (international conference)
Kaňková, Vlasta - Houda, M.
A note on quantitative stability and empirical estimates in stochastic programming.
Berlin: Springer, 2003. ISBN 3-540-00387-8. In: Operations Research Proceedings 2002. - (Leopold-Wildburger, U.; Rendl, F.; Wascher, G.), s. 413-418
[Operations Research 2002. Klagenfurt (AT), 02.09.2002-05.09.2002]
R&D Projects: GA ČR GA402/01/0539; GA ČR GA402/02/1015
Grant - others:Deutsche Foshugsgemeinschaft(DE) 436TSE113/40
Institutional research plan: CEZ:AV0Z1075907
Keywords : stochastic programming * stability and empirical estimates * Kolmogorov and Wasserstein metric
Subject RIV: BB - Applied Statistics, Operational Research
The paper deals with a stability of stochastic programming problems considered with respect to a probability measure space. In particular, the paper deals with the stability of the problems in which the operator of mathematical expectation appears in the objective function, constraints set is "deterministic" and the probability measure space is eqiupped with the Kolmogorov or the Wasserstein metric. The stability results are furthermore employed to statistical estimates.
Permanent Link: http://hdl.handle.net/11104/0131125
Number of the records: 1