On quantile optimization problem based on information from censored data

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F18%3A00498944" target="_blank" >RIV/67985556:_____/18:00498944 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.14736/kyb-2018-6-1156" target="_blank" >http://dx.doi.org/10.14736/kyb-2018-6-1156</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.14736/kyb-2018-6-1156" target="_blank" >10.14736/kyb-2018-6-1156</a>

Result language
angličtina
Original language name
On quantile optimization problem based on information from censored data
Original language description
Stochastic optimization problem is, as a rule, formulated in terms of expected cost function. However, the criterion considered in the present contribution uses selected quantiles. Moreover, it is assumed that the stochastic characteristics of optimized system are estimated from the data, in a non-parametric setting, and that the datanmay be randomly right-censored. Therefore, certain theoretical results concerning estimators of distribution function and quantiles under censoring are recalled and then utilized to prove consistency of solution based on estimates. Behavior of solutions for fi nite data sizes is studied with the aid of randomly generated example of a newsvendor problem.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/GA18-02739S" target="_blank" >GA18-02739S: Stochastic Optimization in Economic Processes</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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