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Multistage Stochastic Programming via Autoregressive Sequences
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SYSNO ASEP 0087259 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Ostatní články Title Multistage Stochastic Programming via Autoregressive Sequences Title Autoregresiní posloupnosti v úlohách vícestupňového stochastického programování Author(s) Kaňková, Vlasta (UTIA-B) RID Source Title Acta Oeconomica Pragensia - ISSN 0572-3043
Roč. 15, č. 4 (2007), s. 99-110Number of pages 12 s. Language eng - English Country CZ - Czech Republic Keywords Economic proceses ; Multistage stochastic programming ; autoregressive sequences ; individual probability constraints Subject RIV BB - Applied Statistics, Operational Research R&D Projects GA402/07/1113 GA ČR - Czech Science Foundation (CSF) GA402/06/0990 GA ČR - Czech Science Foundation (CSF) GD402/03/H057 GA ČR - Czech Science Foundation (CSF) CEZ AV0Z10750506 - UTIA-B (2005-2011) Annotation Economic activities developing in time are very often influenced simultaneously by a random factor (modeled mostly by stochastic process) and a ``decision" parameter (that has been chosen accordind to economic possibilities). Theory of multistage stochastic programming, controlled Markov processes as well as empirical processes can be employed to treat the economic processes. We focus on the multistage stochastic problems with the individual probability constraints and random element following an autoregressive (generally) nonlinear sequences. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2008
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