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Stochastic Programming Problems with Recourse via Empirical Estimates
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SYSNO ASEP 0326549 Document Type C - Proceedings Paper (int. conf.) R&D Document Type Conference Paper Title Stochastic Programming Problems with Recourse via Empirical Estimates Title Empirické odhady v úlohách stochastického programování s kompenzací Author(s) Kaňková, Vlasta (UTIA-B) RID Source Title Operations Research Proceedings 2008. - Berlin : Springer, 2009 / Fleischmann B. ; Borgwardt K. H. ; Klein R. ; Tuma A. - ISBN 978-3-642-00141-3 Pages s. 1-6 Number of pages 6 s. Publication form www - www Action Operations Research 2008 Event date 03.09.2008-05.09.2008 VEvent location Augsburg Country DE - Germany Event type EUR Language eng - English Country DE - Germany Keywords Stochastic programming ; Problems with recourse ; Empirical estimates ; Stability ; Wasserstein metric Subject RIV BB - Applied Statistics, Operational Research R&D Projects GA402/06/0990 GA ČR - Czech Science Foundation (CSF) GA402/08/0107 GA ČR - Czech Science Foundation (CSF) GA402/07/1113 GA ČR - Czech Science Foundation (CSF) CEZ AV0Z10750506 - UTIA-B (2005-2011) Annotation Optimization problems depending on a probability measure cor- respond to many applications. If the "underlying" probability measure is unknown, then very often a solution is sought with respect to the problem in which theoretical measure is replaced by an empirical measure to obtain estimates of the optimal value and the optimal solution. The aim of the paper is to investigate the corresponding empirical estimates of the optimal value in the case of stochastic programming problems with recourse. Stability results determined by the Wasserstein metric depending on one- dimensional marginal distributions are employed for it. The linear case is studied separately. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2010
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