A Note on Optimization under Uncertainty: Comparing Probabilistically Constrained and Robust Optimization Methodology
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F60076658%3A12510%2F16%3A43892050" target="_blank" >RIV/60076658:12510/16:43892050 - 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
A Note on Optimization under Uncertainty: Comparing Probabilistically Constrained and Robust Optimization Methodology
Original language description
Dealing with optimization problems, data entering the optimization process are usually of uncertain nature. There are several approaches to deal with data uncertainty, starting with classical sensitivity analysis and/or parametric programming. In this paper, we concentrate on two specific approaches, namely on chance constrained (stochastic) and robust optimization. Chance (probabilistically) constrained optimization is based on the assumption that underlying uncertainty is driven by a probability distribution, that is, considered as a random vector. On the other hand, robust optimization deals with the situation in which uncertainty is given only by a membership of the uncertain factor to an explicitly defined set. We compare these two approaches with respect to the behavior of optimal values and optimal solution sets and discuss the drawbacks of each of two approaches on an illustrative example.
Czech name
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Czech description
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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
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 10th International Scientific Conference INPROFORUM. Threatened Europe - Socio-Economic and Environmental Changes
ISBN
978-80-7394-607-4
ISSN
2336-6788
e-ISSN
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Number of pages
5
Pages from-to
187-191
Publisher name
Jihočeská univerzita v Českých Budějovicích, Ekonomická fakulta
Place of publication
České Budějovice
Event location
České Budějovice
Event date
Nov 3, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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