A remark on multiobjective stochastic optimization via strongly convex functions

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F16%3A00450553" target="_blank" >RIV/67985556:_____/16:00450553 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1007/s10100-015-0414-7" target="_blank" >http://dx.doi.org/10.1007/s10100-015-0414-7</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s10100-015-0414-7" target="_blank" >10.1007/s10100-015-0414-7</a>

Result language

angličtina

Original language name

A remark on multiobjective stochastic optimization via strongly convex functions

Original language description

Many economic and financial applications lead (from the mathematical point of view) to deterministic optimization problems depending on a probability measure. These problems can be static (one stage), dynamic with finite (multistage) or infinite horizon, single objective or multiobjective. We focus on one-stage case in multiobjective setting. Evidently, well known results from the deterministic optimization theory can be employed in the case when the "underlying" probability measure is completely known. The assumption of a complete knowledge of the probability measure is fulfilled very seldom. Consequently, we have mostly to analyze the mathematical models on the data base to obtain a stochastic estimate of the corresponding "theoretical" characteristics. However, the investigation of these estimates has been done mostly in one-objective case. In this paper we focus on the investigation of the relationship between "characteristics" obtained on the base of complete knowledge of the probability measure and estimates obtained on the (above mentioned) data base, mostly in the multiobjective case.

Czech name

—

Czech description

—

Type

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

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

—

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

2016

Confidentiality

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

Name of the periodical

Central European Journal of Operations Research

ISSN

1435-246X

e-ISSN

—

Volume of the periodical

24

Issue of the periodical within the volume

2

Country of publishing house

DE - GERMANY

Number of pages

25

Pages from-to

309-333

UT code for WoS article

000374450100005

EID of the result in the Scopus database

2-s2.0-84941338155