Approximations in stochastic and robust programming problems
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60076658%3A12220%2F06%3A00007067" target="_blank" >RIV/60076658:12220/06:00007067 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Approximations in stochastic and robust programming problems
Original language description
Optimization procedures are very useful tools in many economic decision-making problems. We deal with the case of optimization problems where uncertainties in parameters occur. The stochastic programming approach considers the probability distribution ofuncertain parameters and seeks for a solution that is feasible up to a certain level of probability (chance-constrained programming). Robust programming techniques search for such a solution that satisfies simultaneously all possible realizations of theparameters. Both methods require some kind of approximation because of computational difficulties. The paper deals with such approximations and illustrates the essential difference between the two above-mentioned methods. Even if a variety of economic problems lead to the same optimization program, one is required to choose a correct method to solve it; the economic background of the problem is crucial for such decision.
Czech name
Aproximace v úlohách stochastického a robustního programování
Czech description
V příspěvku jsou řešeny úlohy s pravděpodobnostními omezeními, empirická distribuční funkce, robustní optimalizační úlohy a výběrová úloha.
Classification
Type
D - Article in proceedings
CEP classification
BB - Applied statistics, operational research
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2006
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Mathematical methods in economics 2006 : proceedings of 24-th international conference, Pilsen, 13th-15th September 2006
ISBN
80-7043-480-5
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
249-254
Publisher name
Západočeská univerzita v Plzni
Place of publication
Plzeň
Event location
Plzeň
Event date
Sep 13, 2006
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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