Stochastic Programming Problems with Recourse via Empirical Estimates

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F09%3A00326549" target="_blank" >RIV/67985556:_____/09:00326549 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Stochastic Programming Problems with Recourse via Empirical Estimates

Original language description

Optimization problems depending on a probability measure cor- respond to many applications. If the "underlying" probability measure is unknown, then very often a solution is sought with respect to the problem in which theoretical measure is replaced by an empirical measure to obtain estimates of the optimal value and the optimal solution. The aim of the paper is to investigate the corresponding empirical estimates of the optimal value in the case of stochastic programming problems with recourse. Stability results determined by the Wasserstein metric depending on one- dimensional marginal distributions are employed for it. The linear case is studied separately.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2009

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Operations Research Proceedings 2008

ISBN

978-3-642-00141-3

ISSN

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e-ISSN

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Number of pages

6

Pages from-to

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Publisher name

Springer

Place of publication

Berlin

Event location

Augsburg

Event date

Sep 3, 2008

Type of event by nationality

EUR - Evropská akce

UT code for WoS article

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