Original title: Sensitivity of stochastic programs by means of the infimum functional
Translated title: Sensitivita stochastického programování pomocí functionalu infima
Authors: Lachout, Petr
Document type: Papers
Conference/Event: Prague Stochastics 2006, Prague (CZ), 2006-08-21 / 2006-08-25
Year: 2006
Language: eng
Abstract: [eng] [cze]
Paper presents a study on sensitivity of stochastic programs. It is based on the infimum functional derivative, namely on its Hadamard derivative. The paper applies theoretical results on one- and two-stage stochastic programs. Článek představuje studii sensitivity stochastického programování. Je založen na derivaci functionalu infima, zejména na jeho Hadamardově derivaci. Teoretické výsledky jse aplikovány na jedno- a dvou-stupňové stochastické programování.
Keywords: Hadamard derivative; Sensitivity of stochastic program; Two-stage stochastic program
Project no.: CEZ:AV0Z10750506 (CEP), GA201/05/2340 (CEP)
Funding provider: GA ČR
Host item entry: Prague Stochastics 2006, ISBN 80-86732-75-4

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at the institute of the Academy of Sciences.
Original record: http://hdl.handle.net/11104/0134493

Permalink: http://www.nusl.cz/ntk/nusl-35518


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Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers