Original title: Scenario Generation via L-1 Norm
Authors: Kaňková, Vlasta
Document type: Papers
Conference/Event: Mathematical Methods in Economics 2015 /33./, Cheb (CZ), 2015-09-09 / 2015-09-11
Year: 2015
Language: eng
Abstract: 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
Keywords: L_1 norm; multistage stochastic problems; One-stage stochastic programming problems; Wasserstein metric
Project no.: GA13-14445S (CEP), GA15-10331S (CEP)
Funding provider: GA ČR, GA ČR
Host item entry: Procedings of the 33rd International Conference Mathematical Methods in Economics MME 2015, ISBN 978-80-261-0539-8

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2015/E/kankova-0454493.pdf
Original record: http://hdl.handle.net/11104/0255276

Permalink: http://www.nusl.cz/ntk/nusl-201473


The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers