Search results
- 1.0502907 - ÚTIA 2019 RIV CZ eng J - Journal Article
Kaňková, Vlasta - Omelchenko, Vadym
Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric.
Kybernetika. Roč. 54, č. 6 (2018), s. 1231-1246. ISSN 0023-5954.
[19th Joint Czech -German-Slovak Conference on Mathematical Methods in Economy and Industry (MMEI). Jindřichův Hradec, 04.06.2018-06.06.2018]
R&D Projects: GA ČR GA18-02739S
Institutional support: RVO:67985556
Keywords : Stochastic programming problems * Second order stochastic dominance constraints * Wasserstein metric * Stability * Relaxation * Scenario generation * Empirical estimates * Light-and heavy tailed distributions * Crossing
OECD category: Statistics and probability
Impact factor: 0.560, year: 2018
http://library.utia.cas.cz/separaty/2019/E/kankova-0502907.pdf
Permanent Link: http://hdl.handle.net/11104/0295272 - 2.0485151 - ÚTIA 2018 RIV CZ eng J - Journal Article
Kaňková, Vlasta
Stability, Empirical Estimates and Scenario Generation in Stochastic Optimization - Applications in Finance.
Kybernetika. Roč. 53, č. 6 (2017), s. 1026-1046. ISSN 0023-5954
R&D Projects: GA ČR GA15-10331S
Institutional support: RVO:67985556
Keywords : stochastic programming * stochastic dominance * empirical estimates * financial applications
OECD category: Statistics and probability
Impact factor: 0.632, year: 2017
http://library.utia.cas.cz/separaty/2017/E/kankova-0485151.pdf
Permanent Link: http://hdl.handle.net/11104/0280355 - 3.0454495 - ÚTIA 2016 RIV SK eng J - Journal Article
Omelchenko, Vadym - Kaňková, Vlasta
Empirical estimates in stochastic programs with probability and second order stochastic dominance constraints.
Acta Mathematica Universitas Comenianae. Roč. 84, č. 2 (2015), s. 267-281. ISSN 0862-9544
R&D Projects: GA ČR GA13-14445S
Institutional support: RVO:67985556
Keywords : Stochastic programming problems * empirical estimates * light and heavy tailed distributions * quantiles
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2015/E/omelchenko-0454495.pdf
Permanent Link: http://hdl.handle.net/11104/0255277 - 4.0450553 - ÚTIA 2017 RIV DE eng J - Journal Article
Kaňková, Vlasta
A remark on multiobjective stochastic optimization via strongly convex functions.
Central European Journal of Operations Research. Roč. 24, č. 2 (2016), s. 309-333. ISSN 1435-246X. E-ISSN 1613-9178
R&D Projects: GA ČR GA13-14445S
Institutional support: RVO:67985556
Keywords : Stochasticmultiobjective optimization problem * Efficient solution * Wasserstein metric and L_1 norm * Stability and empirical estimates
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.659, year: 2016
http://library.utia.cas.cz/separaty/2015/E/kankova-0450553.pdf
Permanent Link: http://hdl.handle.net/11104/0252048 - 5.0447994 - ÚTIA 2016 RIV CZ eng J - Journal Article
Kaňková, Vlasta - Houda, Michal
Thin and heavy tails in stochastic programming.
Kybernetika. Roč. 51, č. 3 (2015), s. 433-456. ISSN 0023-5954
R&D Projects: GA ČR GA13-14445S
Institutional support: RVO:67985556
Keywords : stochastic programming problems * stability * Wasserstein metric * L1 norm * Lipschitz property * empirical estimates * convergence rate * linear and nonlinear dependence * probability and risk constraints * stochastic dominance
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.628, year: 2015
http://library.utia.cas.cz/separaty/2015/E/kankova-0447994.pdf
Permanent Link: http://hdl.handle.net/11104/0250230 - 6.0423826 - ÚTIA 2014 RIV CZ eng J - Journal Article
Kaňková, Vlasta
Risk Measures in Optimization Problems via Empirical Estimates.
Acta Universitatis Carolinae. Oeconomica. Roč. 7, č. 3 (2013), s. 162-177. ISSN 0323-066X
R&D Projects: GA ČR GAP402/10/0956; GA ČR GAP402/11/0150; GA ČR GAP402/10/1610
Institutional support: RVO:67985556
Keywords : static stochastic optimization problems * risk measures * empirical distribution function
Subject RIV: AH - Economics
http://library.utia.cas.cz/separaty/2013/E/kankova-0423826.pdf
Permanent Link: http://hdl.handle.net/11104/0229886 - 7.0411309 - UTIA-B 20050037 RIV CZ eng J - Journal Article
Kaňková, Vlasta
Multistage stochastic decision and economic processes.
[Vícestupňové stochastické rozhodování a ekonomické procesy.]
Acta Oeconomica Pragensia. Roč. 13, č. 1 (2005), s. 119-127. ISSN 0572-3043
R&D Projects: GA ČR GA402/02/1015; GA AV ČR IAA7075202
Institutional research plan: CEZ:AV0Z10750506
Keywords : economic processes * multistage stochastic programming * Markov dependence
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0131392 - 8.0410992 - UTIA-B 20020206 RIV CZ eng J - Journal Article
Kaňková, Vlasta
A remark on empirical estimates in multistage stochastic programming.
Bulletin of the Czech Econometric Society. Roč. 9, č. 17 (2002), s. 31-50. ISSN 1212-074X
R&D Projects: GA ČR GA402/01/0539; GA ČR GA402/02/1015; GA ČR GA402/01/0034
Institutional research plan: CEZ:AV0Z1075907
Keywords : multistage stochastic programming * empirical estimates * Markov dependence
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0131079 - 9.0410932 - UTIA-B 20020146 RIV DE eng J - Journal Article
Kaňková, Vlasta
A remark on the analysis of multistage stochastic programs: Markov depedence.
ZAMM-Zeitschrift fur Angewandte Mathematik und Mechanik. Roč. 82, 11/12 (2002), s. 781-793. ISSN 0044-2267. E-ISSN 1521-4001
R&D Projects: GA ČR GA402/01/0539; GA ČR GA402/99/1136
Grant - others:Deutsche Foshugsgemeinschaft(DE) 436TSE113/40
Institutional research plan: CEZ:AV0Z1075907
Keywords : multistage stochastic programs * Markov depedence * stability and estimates
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.085, year: 2002
Permanent Link: http://hdl.handle.net/11104/0131019 - 10.0410098 - UTIA-B 990081 RIV SK eng J - Journal Article
Kaňková, Vlasta
Remarks on contamination in stochastic programming.
Central European Journal for Operations Research and Economics. Roč. 6, 3/4 (1998), s. 215-224. ISSN 1210-0269
R&D Projects: GA ČR GA402/96/0420; GA ČR GA402/98/0742
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0130190