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A remark on empirical estimates in multistage stochastic programming
- 1.0410992 - UTIA-B 20020206 RIV CZ eng J - Journal Article
Kaňková, Vlasta
A remark on empirical estimates in multistage stochastic programming.
Bulletin of the Czech Econometric Society. Roč. 9, č. 17 (2002), s. 31-50. ISSN 1212-074X
R&D Projects: GA ČR GA402/01/0539; GA ČR GA402/02/1015; GA ČR GA402/01/0034
Institutional research plan: CEZ:AV0Z1075907
Keywords : multistage stochastic programming * empirical estimates * Markov dependence
Subject RIV: BB - Applied Statistics, Operational Research
A multistage stochastic programming problem can be introduced as a system of parametric optimization problems considered w.r.t. the Euclidean space with an inner (recurrent) dependence and mathematical (mostly conditional) expectation in the objective functions of the individual problems. Consequently, this type of the problems belongs to the class of problems depending on a measure. The aim of the paper is to treat the case when the theoretical probability measure is replaced by an "empirical" one.
Permanent Link: http://hdl.handle.net/11104/0131079
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