Multi-Objective Optimization Problems with Random Elements - Survey of Approaches

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F18%3A00493605" target="_blank" >RIV/67985556:_____/18:00493605 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Multi-Objective Optimization Problems with Random Elements - Survey of Approaches

Popis výsledku v původním jazyce

Many economic and financial situations depend simultaneously on a random element and a decision parameter. Mostly, it is possible to influence the above mentioned situation only by an optimization model depending on a probability measure. This optimization problem can be static (one-stage), dynamic with finite or infinite horizon, single-objective or multi-objective. We focus on one-stage multi-objective problems corresponding to applications those are suitable to evaluate simultaneously by a few objectives. The aim of the contribution is to give a survey of different approaches (as they are known from the literature) of the above mentioned applications. To this end we start with well-known mean-risk model and continue with other known approaches. Moreover, we try to complete every model by a suitable application. Except an analysis of a choice of the objective functions type we try to discuss suitable constraints set with respect to the problem base, possible investigation and relaxation. At the end we mention properties of the problem in the case when the theoretical „underlying“ probability measure is replaced by its „deterministic“ or „stochastic“ estimate.

Název v anglickém jazyce

Multi-Objective Optimization Problems with Random Elements - Survey of Approaches

Popis výsledku anglicky

Many economic and financial situations depend simultaneously on a random element and a decision parameter. Mostly, it is possible to influence the above mentioned situation only by an optimization model depending on a probability measure. This optimization problem can be static (one-stage), dynamic with finite or infinite horizon, single-objective or multi-objective. We focus on one-stage multi-objective problems corresponding to applications those are suitable to evaluate simultaneously by a few objectives. The aim of the contribution is to give a survey of different approaches (as they are known from the literature) of the above mentioned applications. To this end we start with well-known mean-risk model and continue with other known approaches. Moreover, we try to complete every model by a suitable application. Except an analysis of a choice of the objective functions type we try to discuss suitable constraints set with respect to the problem base, possible investigation and relaxation. At the end we mention properties of the problem in the case when the theoretical „underlying“ probability measure is replaced by its „deterministic“ or „stochastic“ estimate.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GA18-02739S" target="_blank" >GA18-02739S: Stochastická optimalizace v ekonomických procesech</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název statě ve sborníku

36th International Conference Mathematical Methods in Economics

ISBN

978-80-7378-371-6

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

198-203

Název nakladatele

MatfyzPress

Místo vydání

Praha

Místo konání akce

Jindřichův Hradec

Datum konání akce

12. 9. 2018

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

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