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Analysis of Impact of Covariates Entering Stochastic Optimization Problem
- 1.0561011 - ÚTIA 2023 RIV CZ eng K - Conference Paper (Czech conference)
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]
R&D Projects: GA ČR GA18-02739S
Institutional support: RVO:67985556
Keywords : stochastic optimization * regression model * statistical estimation
OECD category: 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.
Permanent Link: https://hdl.handle.net/11104/0333905
Number of the records: 1