Multiobjective Stochastic Optimization Problems with Probability Constraints

0433604 - ÚTIA 2015 RIV CZ eng C - Conference Paper (international conference)
Kaňková, Vlasta
Multiobjective Stochastic Optimization Problems with Probability Constraints.
32nd International Conference Mathematical Methods in Economics MME 2014. Olomouc: Palacký University, Olomouc, 2014. ISBN 978-80-244-4209-9.
[MME 2014. International Conference Mathematical Methods in Economics /32./. Olomouc (CZ), 10.09.2014-12.09.2014]
R&D Projects: GA ČR GA13-14445S
Institutional support: RVO:67985556
Keywords : Stochastic multiobjective optimization problems * (properly) efficient solution * Wasserstein metric * stability * empirical estimates
OECD category: Statistics and probability
http://library.utia.cas.cz/separaty/2014/E/kankova-0433604.pdf

Rather general multiobjective optimization problems depending on a probability measure correspond often to situations in which an economic or financial process is simultaneously influenced by a random factor and a “decision” parameter; moreover simultaneously it is reasonable to evaluate the process by a few objective functions and it seems reasonable to determine the decision with to the mathematical expectation of objectives. A complete knowledge of the probability measure is a necessary assumption to analyze the problem. However, in applications mostly the problem has to be solved on the data base. A relationship between “characteristics” obtained on the base of complete knowledge of the probability measure and them obtained on the above mentioned data base has been already investigated in the case when constraints are not depending on the probability measure. The aim of the talk will be to relax this condition.
Permanent Link: http://hdl.handle.net/11104/0238370