Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F18%3A00502907" target="_blank" >RIV/67985556:_____/18:00502907 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.14736/kyb-2018-6-1231" target="_blank" >http://dx.doi.org/10.14736/kyb-2018-6-1231</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.14736/kyb-2018-6-1231" target="_blank" >10.14736/kyb-2018-6-1231</a>

Result language

angličtina

Original language name

Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric

Original language description

Optimization problems with stochastic dominance constraints are helpful to many real-life applications. We can recall e.g. problems of portfolio selection or problems connected with energy production. The above mentioned constraints are very suitable because they guarantee a solution fulfilling partial order between utility functions in a given subsystem U of the utility functions. Especially, considering U = U_1 (where U_ is a system of a non decreasing concave nonnegative utility functions) we obtain second order stochastic dominance constraints. Unfortunately it is also known that these problems are rather complicated as from the theoretical and the numerical point of view. Moreover, these problems go to semi-infinite optimization problems for which Slater's condition is not necessary fulfilled. Consequently it is suitable to modify the constraints. A question arises how to do it. The aim of the paper is to suggest one of the possibilities how to modify the original problem with an „estimation“ of a gap between the original and modified problem. To this end the stability results obtained on the base of the Wasserstein metric corresponding to L_1 norm are employed. Moreover, we mention a scenario generation and an investigation of empirical estimates. At the end attention will be paid to heavy tailed distributions.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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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

Name of the periodical

Kybernetika

ISSN

0023-5954

e-ISSN

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Volume of the periodical

54

Issue of the periodical within the volume

6

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

16

Pages from-to

1231-1246

UT code for WoS article

000457070200010

EID of the result in the Scopus database

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