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A remark on empirical estimates in multistage stochastic programming
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SYSNO ASEP 0410992 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Ostatní články Title A remark on empirical estimates in multistage stochastic programming Author(s) Kaňková, Vlasta (UTIA-B) RID Source Title Bulletin of the Czech Econometric Society - ISSN 1212-074X
Roč. 9, č. 17 (2002), s. 31-50Number of pages 20 s. Language eng - English Country CZ - Czech Republic Keywords multistage stochastic programming ; empirical estimates ; Markov dependence Subject RIV BB - Applied Statistics, Operational Research R&D Projects GA402/01/0539 GA ČR - Czech Science Foundation (CSF) GA402/02/1015 GA ČR - Czech Science Foundation (CSF) GA402/01/0034 GA ČR - Czech Science Foundation (CSF) CEZ AV0Z1075907 - UTIA-B Annotation 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. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
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