Nonlinear Functionals in Stochastic Prpgramming; A Note on Stability and Empirical Estimatest

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Nonlinear Functionals in Stochastic Prpgramming; A Note on Stability and Empirical Estimatest

Popis výsledku v původním jazyce

Economic processes are very often influenced simultaneously by a decision parameter (that can be chosen according to conditions) and a random factor. Since mostly it is necessary to determine the decision parameter without knowledge of a random element realization, a deterministic optimization problem has to be defined. This deterministic problem can usually depend on an ``underlying" probability measure corresponding to the random element. The investigation of such types problems often belong to the stochastic programming field. The great attention has been focus on the problems in which objective functions depend ``linearly" on the probability measure. This note is focus on the cases when the above mentioned assumption is not fulfilled; see e.g. Markowitz functionals or some risk measures. We try to cover static (one stage problems) as well as dynamic approaches (multistage stochastic programming case

Název v anglickém jazyce

Nonlinear Functionals in Stochastic Prpgramming; A Note on Stability and Empirical Estimatest

Popis výsledku anglicky

Economic processes are very often influenced simultaneously by a decision parameter (that can be chosen according to conditions) and a random factor. Since mostly it is necessary to determine the decision parameter without knowledge of a random element realization, a deterministic optimization problem has to be defined. This deterministic problem can usually depend on an ``underlying" probability measure corresponding to the random element. The investigation of such types problems often belong to the stochastic programming field. The great attention has been focus on the problems in which objective functions depend ``linearly" on the probability measure. This note is focus on the cases when the above mentioned assumption is not fulfilled; see e.g. Markowitz functionals or some risk measures. We try to cover static (one stage problems) as well as dynamic approaches (multistage stochastic programming case

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

Z - Vyzkumny zamer (s odkazem do CEZ)

Rok uplatnění

2010

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Quantitative Methods in Economics (Multiple Criteria Decision Making XV)

ISBN

978-80-8078-364-8

ISSN

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e-ISSN

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Počet stran výsledku

11

Strana od-do

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Název nakladatele

University of Economics, Bratislava

Místo vydání

Bratislava, SR

Místo konání akce

Smolenice

Datum konání akce

6. 10. 2010

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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