A Note on Stochastic Optimization Problems with Nonlinear Dependence on a Probability Measure
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F20%3A00536237" target="_blank" >RIV/67985556:_____/20:00536237 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
A Note on Stochastic Optimization Problems with Nonlinear Dependence on a Probability Measure
Original language description
Nonlinear dependence on a probability measure begins to appear (last time) in a stochastic optimization rather often. Namely, the corresponding type of problems corresponds to many situations in applications. The nonlinear dependence can appear as in the objective functions so in a constraints set. We plan to consider the case of static (one-objective) problems in which nonlinear dependence appears in the objective function with a few types of constraints sets. In details we consider constraints sets “deterministic”, depending nonlinearly on the probability measure, constraints set determined by second order stochastic dominance and the sets given by mean-risk problems. The last case means that the constraints set corresponds to solutions those guarantee an acceptable value in both criteria. To introduce corresponding assertions we employ the stability results based on the Wasserstein metric and L1 norm. Moreover, we try to deal also with the case when all results have to be obtained (estimated) on the data base.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
<a href="/en/project/GA18-02739S" target="_blank" >GA18-02739S: Stochastic Optimization in Economic Processes</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 38th International Conference on Mathematical Methods in Economics
ISBN
978-80-7509-734-7
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
247-252
Publisher name
Faculty of Business Economics, Mendel University
Place of publication
Brno
Event location
Brno
Event date
Sep 9, 2020
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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