Název:
Scenario Generation via L-1 Norm
Autoři:
Kaňková, Vlasta Typ dokumentu: Příspěvky z konference Konference/Akce: Mathematical Methods in Economics 2015 /33./, Cheb (CZ), 2015-09-09 / 2015-09-11
Rok:
2015
Jazyk:
eng
Abstrakt: Optimization problems depending on a probability measure correspond to many economic and financial situations. It can be very complicated to solve these problems, especially when the underlying probability measure belongs to continuous type. Consequently, the underlying continuous probability measure is often replaced by discrete one with finite number of atoms (scenario). The aim of the contribution is to deal with the above mentioned approximation in a special form of stochastic optimization problems with an operator of the mathematical expectation in the objective function. The stability results determined by the help of the Wasserstein metric (based on the L_1 norm) are employed to generate approximate distributions
Klíčová slova:
L_1 norm; multistage stochastic problems; One-stage stochastic programming problems; Wasserstein metric Číslo projektu: GA13-14445S (CEP), GA15-10331S (CEP) Poskytovatel projektu: GA ČR, GA ČR Zdrojový dokument: Procedings of the 33rd International Conference Mathematical Methods in Economics MME 2015, ISBN 978-80-261-0539-8