Original title:
Multiobjective Stochastic Optimization Problems with Probability Constraints
Authors:
Kaňková, Vlasta Document type: Papers Conference/Event: MME 2014. International Conference Mathematical Methods in Economics /32./, Olomouc (CZ), 2014-09-10 / 2014-09-12
Year:
2014
Language:
eng Abstract:
Rather general multiobjective optimization problems depending on a probability measure correspond often to situations in which an economic or financial process is simultaneously influenced by a random factor and a “decision” parameter; moreover simultaneously it is reasonable to evaluate the process by a few objective functions and it seems reasonable to determine the decision with to the mathematical expectation of objectives. A complete knowledge of the probability measure is a necessary assumption to analyze the problem. However, in applications mostly the problem has to be solved on the data base. A relationship between “characteristics” obtained on the base of complete knowledge of the probability measure and them obtained on the above mentioned data base has been already investigated in the case when constraints are not depending on the probability measure. The aim of the talk will be to relax this condition.
Keywords:
(properly) efficient solution; empirical estimates; stability; Stochastic multiobjective optimization problems; Wasserstein metric Project no.: GA13-14445S (CEP) Funding provider: GA ČR Host item entry: 32nd International Conference Mathematical Methods in Economics MME 2014, ISBN 978-80-244-4209-9