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Analysis of Impact of Covariates Entering Stochastic Optimization Problem
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SYSNO ASEP 0561011 Document Type K - Proceedings Paper (Czech conf.) R&D Document Type Conference Paper Title Analysis of Impact of Covariates Entering Stochastic Optimization Problem Author(s) Volf, Petr (UTIA-B) RID, ORCID Number of authors 1 Source Title Proceedingsof the 40th International Conference Mathematical Methods in Economics 2022. - Jihlava : College of Polytechnics Jihlava, 2022 / Vojáčková Hana - ISBN 978-80-88064-62-6
S. 398-404Number of pages 8 s. Publication form Print - P Action International Conference Mathematical Methods in Economics 2022 /40./ Event date 07.09.2022 - 09.09.2022 VEvent location Jihlava Country CZ - Czech Republic Event type WRD Language eng - English Country CZ - Czech Republic Keywords stochastic optimization ; regression model ; statistical estimation Subject RIV BB - Applied Statistics, Operational Research OECD category Statistics and probability R&D Projects GA18-02739S GA ČR - Czech Science Foundation (CSF) Institutional support UTIA-B - RVO:67985556 Annotation 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. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2023
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