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 - 2.0490685 - ÚTIA 2019 SK eng C - Conference Paper (international conference)
Kaňková, Vlasta
Second Order Stochastic Dominance Constraints in Multi-objective Stochastic Programming Problems.
Quantitative Methods in Economics: Multiple Criteria Decision Making XIX. Bratislava: University of Economics, Bratislava, 2018 - (Reiff, M.; Gežík, P.), s. 165-171. ISBN 978-80-89962-07-5.
[Quantitative Methods in Economics: Multiple Criteria Decision Making XIX. Trenčianské Teplice (SK), 23.05.2018-25.05.2018]
R&D Projects: GA ČR GA18-02739S
Institutional support: RVO:67985556
Keywords : stochastic multi-objective optimization problems * efficient solution * Wasserstein metric and L1 norm * Lipschitz property * second order stochastic dominance constraints * relaxation
OECD category: Applied Economics, Econometrics
http://library.utia.cas.cz/separaty/2018/E/kankova-0490685.pdf
Permanent Link: http://hdl.handle.net/11104/0286787 - 3.0454493 - ÚTIA 2016 RIV CZ eng C - Conference Paper (international conference)
Kaňková, Vlasta
Scenario Generation via L-1 Norm.
Procedings of the 33rd International Conference Mathematical Methods in Economics MME 2015. Plzeň: University of West Bohemia, Plzeň, 2015, s. 331-336. ISBN 978-80-261-0539-8.
[Mathematical Methods in Economics 2015 /33./. Cheb (CZ), 09.09.2015-11.09.2015]
R&D Projects: GA ČR GA13-14445S; GA ČR GA15-10331S
Institutional support: RVO:67985556
Keywords : One-stage stochastic programming problems * multistage stochastic problems * L_1 norm * Wasserstein metric
OECD category: Statistics and probability
http://library.utia.cas.cz/separaty/2015/E/kankova-0454493.pdf
Permanent Link: http://hdl.handle.net/11104/0255276 - 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 - 6.0433604 - 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
Permanent Link: http://hdl.handle.net/11104/0238370 - 7.0411038 - UTIA-B 20030025 RIV DE eng C - Conference Paper (international conference)
Kaňková, Vlasta - Houda, M.
A note on quantitative stability and empirical estimates in stochastic programming.
Berlin: Springer, 2003. ISBN 3-540-00387-8. In: Operations Research Proceedings 2002. - (Leopold-Wildburger, U.; Rendl, F.; Wascher, G.), s. 413-418
[Operations Research 2002. Klagenfurt (AT), 02.09.2002-05.09.2002]
R&D Projects: GA ČR GA402/01/0539; GA ČR GA402/02/1015
Grant - others:Deutsche Foshugsgemeinschaft(DE) 436TSE113/40
Institutional research plan: CEZ:AV0Z1075907
Keywords : stochastic programming * stability and empirical estimates * Kolmogorov and Wasserstein metric
Subject RIV: BB - Applied Statistics, Operational Research
Permanent Link: http://hdl.handle.net/11104/0131125 - 8.0393354 - ÚTIA 2014 RIV CZ eng C - Conference Paper (international conference)
Kaňková, Vlasta
Economic and Financial Problems via Multiobjective Stochastic Optimization.
Proceedings of the 31st International Conference Mathematical Methods in Economics 2013. Jihlava: College of Polytechnics Jihlava, 2013 - (Vojáčková, H.). ISBN 978-80-87035-76-4.
[MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./. Jihlava (CZ), 11.09.2013-13.09.2013]
R&D Projects: GA ČR GA13-14445S; GA ČR GAP402/11/0150
Institutional support: RVO:67985556
Keywords : stochastic multiobjective optimization problems * efficient solution * Wasserstein metric * L_1 norm * empirical estimates * Lipschitz property
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2013/E/kankova-economic and financial problems via multiobjective stochastic optimization.pdf
Permanent Link: http://hdl.handle.net/11104/0223780 - 9.0388146 - ÚTIA 2013 RIV CZ eng J - Journal Article
Omelchenko, Vadym
Behavior and Convergence of Wasserstein Metric in the Framework of Stable Distributions.
Bulletin of the Czech Econometric Society. Roč. 2012, č. 30 (2012), s. 124-138. ISSN 1212-074X
R&D Projects: GA ČR GAP402/10/0956
Institutional research plan: CEZ:AV0Z10750506
Institutional support: RVO:67985556
Keywords : Wasserstein Metric * Stable Distributions * Empirical Distribution Function
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2013/E/omelchenko-behavior and convergence of wasserstein metric in the framework of stable distributions.pdf
Permanent Link: http://hdl.handle.net/11104/0217170 - 10.0376758 - ÚTIA 2013 RIV CZ eng J - Journal Article
Houda, Michal - Kaňková, Vlasta
Empirical Estimates in Economic and Financial Optimization Problems.
Bulletin of the Czech Econometric Society. Roč. 19, č. 29 (2012), s. 50-69. ISSN 1212-074X
R&D Projects: GA ČR GAP402/10/1610; GA ČR GAP402/11/0150; GA ČR GAP402/10/0956
Institutional research plan: CEZ:AV0Z10750506
Keywords : stochastic programming * empirical estimates * moment generating functions * stability * Wasserstein metric * L1-norm * Lipschitz property * consistence * convergence rate * normal distribution * Pareto distribution * Weibull distribution * distribution tails * simulation
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2012/E/houda-empirical estimates in economic and financial optimization problems.pdf
Permanent Link: http://hdl.handle.net/11104/0209079