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Nonlinear Functionals in Stochastic Programming; A Note on Stability and Empirical Estimatest
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SYSNO ASEP 0348202 Document Type C - Proceedings Paper (int. conf.) R&D Document Type Conference Paper Title Nonlinear Functionals in Stochastic Programming; A Note on Stability and Empirical Estimatest Author(s) Kaňková, Vlasta (UTIA-B) RID Number of authors 1 Source Title Quantitative Methods in Economics (Multiple Criteria Decision Making XV). - Bratislava, SR : University of Economics, Bratislava, 2010 / Reiff Marian - ISBN 978-80-8078-364-8 Pages s. 96-106 Number of pages 11 s. Action Quantitative Methods in Economics (Multiple Criteria Decision Making) Event date 06.10.2010-08.10.2010 VEvent location Smolenice Country SK - Slovakia Event type EUR Language eng - English Country SK - Slovakia Keywords Optimization problems with a random element ; One stage stochastic programming problems ; Multistage stochastic programming problems ; Linear and nonlinear functionals ; Risk measures Subject RIV BB - Applied Statistics, Operational Research R&D Projects GAP402/10/0956 GA ČR - Czech Science Foundation (CSF) GAP402/10/1610 GA ČR - Czech Science Foundation (CSF) GA402/08/0107 GA ČR - Czech Science Foundation (CSF) CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000315405300010 Annotation Economic processes are very often influenced simultaneously by a decision parameter (that can be chosen according to conditions) and a random factor. Since mostly it is necessary to determine the decision parameter without knowledge of a random element realization, a deterministic optimization problem has to be defined. This deterministic problem can usually depend on an ``underlying" probability measure corresponding to the random element. The investigation of such types problems often belong to the stochastic programming field. The great attention has been focus on the problems in which objective functions depend ``linearly" on the probability measure. This note is focus on the cases when the above mentioned assumption is not fulfilled; see e.g. Markowitz functionals or some risk measures. We try to cover static (one stage problems) as well as dynamic approaches (multistage stochastic programming case Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2011
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