On impact of statistical estimates on precision of stochastic optimization
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F22%3A00566099" target="_blank" >RIV/67985556:_____/22:00566099 - isvavai.cz</a>
Result on the web
<a href="https://hrcak.srce.hr/287939" target="_blank" >https://hrcak.srce.hr/287939</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.17535/crorr.2022.0017" target="_blank" >10.17535/crorr.2022.0017</a>
Alternative languages
Result language
angličtina
Original language name
On impact of statistical estimates on precision of stochastic optimization
Original language description
This paper studies the consequences of imperfect information for the precision of stochastic optimization. In particular, it is assumed that the stochastic characteristics of an optimization problem depend on unknown parameters estimated from available data. First, a theoretical result is presented, showing that consistent parameters estimation leads to consistent optimization. Further, a type of the studied models is specified, it is assumed that the random variables present in the optimization problem are influenced by covariates. This influence is expressed via a parametric regression model, whose parameters have to be estimated and used instead of the unknown correct parameters values. The objective is then to explore, with the aid of simulations, the imprecision of the optimization based on these estimates. Several types of regression models are recalled, the variability of estimates and the related precision of sub-optimal solutions is studied in detail on an example dealing with optimal maintenance. The impact of random right-censoring on the deterioration of precision is studied as well.
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Croatian Operational Research Review
ISSN
1848-0225
e-ISSN
1848-9931
Volume of the periodical
13
Issue of the periodical within the volume
2
Country of publishing house
HR - CROATIA
Number of pages
11
Pages from-to
227-237
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85145910946