Scenario Generation via L-1 Norm

0454493 - ÚTIA 2016 RIV CZ eng C - Conference Paper (international conference)
Kaňková, Vlasta
Scenario Generation via L-1 Norm.
Procedings of the 33rd International Conference Mathematical Methods in Economics MME 2015. Plzeň: University of West Bohemia, Plzeň, 2015, s. 331-336. ISBN 978-80-261-0539-8.
[Mathematical Methods in Economics 2015 /33./. Cheb (CZ), 09.09.2015-11.09.2015]
R&D Projects: GA ČR GA13-14445S; GA ČR GA15-10331S
Institutional support: RVO:67985556
Keywords : One-stage stochastic programming problems * multistage stochastic problems * L_1 norm * Wasserstein metric
OECD category: Statistics and probability
http://library.utia.cas.cz/separaty/2015/E/kankova-0454493.pdf

Optimization problems depending on a probability measure correspond to many economic and financial situations. It can be very complicated to solve these problems, especially when the underlying probability measure belongs to continuous type. Consequently, the underlying continuous probability measure is often replaced by discrete one with finite number of atoms (scenario). The aim of the contribution is to deal with the above mentioned approximation in a special form of stochastic optimization problems with an operator of the mathematical expectation in the objective function. The stability results determined by the help of the Wasserstein metric (based on the L_1 norm) are employed to generate approximate distributions
Permanent Link: http://hdl.handle.net/11104/0255276