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Ambiguity in Stochastic Optimization Problems with Nonlinear Dependence on a Probability Measure via Wasserstein Metric

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F23%3A00583619" target="_blank" >RIV/67985556:_____/23:00583619 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Ambiguity in Stochastic Optimization Problems with Nonlinear Dependence on a Probability Measure via Wasserstein Metric

  • Original language description

    Many economic and financial applications lead to deterministic optimization problems depending on a probability measure. It happens very often (in applications) that these problems have to be solved on the data base. Point estimates of an optimal value and estimates of an optimal solutionset can be obtained by this approach. A consistency, a rate of convergence and normal properties, of these estimates, have been discussed (many times) not only under assumptions of independent data corresponding to the distributions with light tails, but also for weak dependent data and the distributions with heavy tails. However, it is also possible to estimate (on the data base) a confidence intervals and bounds for the optimal value and the optimal solutions. To analyze this approach we focus on a special case of static problems depending nonlineary on the probability measure. Stability results based on the Wasserstein metric and the Valander approach will be employed for the above mentioned analysis.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

  • OECD FORD branch

    50201 - Economic Theory

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

    2023

  • 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 41st International Conference on Mathematical Methods in Econometrics

  • ISBN

    978-80-11-04132-8

  • ISSN

    2788-3965

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

    192-197

  • Publisher name

    The Czech Society of Operations Research

  • Place of publication

    Praha

  • Event location

    Prague

  • Event date

    Sep 13, 2023

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article