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

Kód výsledku v 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>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

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

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2023

Kód důvěrnosti údajů

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

Název statě ve sborníku

Proceedings of the 41st International Conference on Mathematical Methods in Econometrics

ISBN

978-80-11-04132-8

ISSN

2788-3965

e-ISSN

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Počet stran výsledku

6

Strana od-do

192-197

Název nakladatele

The Czech Society of Operations Research

Místo vydání

Praha

Místo konání akce

Prague

Datum konání akce

13. 9. 2023

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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