Nonlinear Functionals in Stochastic Prpgramming; A Note on Stability and Empirical Estimatest

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F10%3A00348202" target="_blank" >RIV/67985556:_____/10:00348202 - 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
Nonlinear Functionals in Stochastic Prpgramming; A Note on Stability and Empirical Estimatest
Original language description
Economic processes are very often influenced simultaneously by a decision parameter (that can be chosen according to conditions) and a random factor. Since mostly it is necessary to determine the decision parameter without knowledge of a random element realization, a deterministic optimization problem has to be defined. This deterministic problem can usually depend on an ``underlying" probability measure corresponding to the random element. The investigation of such types problems often belong to the stochastic programming field. The great attention has been focus on the problems in which objective functions depend ``linearly" on the probability measure. This note is focus on the cases when the above mentioned assumption is not fulfilled; see e.g. Markowitz functionals or some risk measures. We try to cover static (one stage problems) as well as dynamic approaches (multistage stochastic programming case
Czech name
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Czech description
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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
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Quantitative Methods in Economics (Multiple Criteria Decision Making XV)
ISBN
978-80-8078-364-8
ISSN
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e-ISSN
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Number of pages
11
Pages from-to
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Publisher name
University of Economics, Bratislava
Place of publication
Bratislava, SR
Event location
Smolenice
Event date
Oct 6, 2010
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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