EMPIRICAL ESTIMATES IN STOCHASTIC PROGRAMS WITH PROBABILITY AND SECOND ORDER STOCHASTIC DOMINANCE CONSTRAINTS

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F15%3A00454495" target="_blank" >RIV/67985556:_____/15:00454495 - 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

EMPIRICAL ESTIMATES IN STOCHASTIC PROGRAMS WITH PROBABILITY AND SECOND ORDER STOCHASTIC DOMINANCE CONSTRAINTS

Original language description

Stochastic optimization problems with an operator of the mathematical expectation in the objective function, probability and stochastic dominance constraints belong to ?deterministic problems depending on a probability measure. Complete knowledge of theprobability measure is a necessary condition for solving these problems. However, since this assumption is very rarely fulfilled (in applications), problems are mostly solved on the basis of data. Mathematically it means that the ?underlying probabilitymeasure is replaced by an empirical one (determined by the corresponding data). Stochastic estimates of an optimal value and an optimal solution can only then be obtained. Properties of these estimates have been investigated many times, mostly in the case of constraint sets not depending on the probability measure. Our results generalize such estimates to two separate cases (already mentioned above) when the constraint sets do depend on the probability measure.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

<a href="/en/project/GA13-14445S" target="_blank" >GA13-14445S: New Trends in Stochastic Economic Models under Uncertainty</a><br>

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2015

Confidentiality

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

Name of the periodical

Acta Mathematica Universitas Comenianae

ISSN

0862-9544

e-ISSN

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Volume of the periodical

84

Issue of the periodical within the volume

2

Country of publishing house

SK - SLOVAKIA

Number of pages

15

Pages from-to

267-281

UT code for WoS article

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EID of the result in the Scopus database

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