Original title: Multi-Objective Optimization Problems with Random Elements - Survey of Approaches
Authors: Kaňková, Vlasta
Document type: Papers
Conference/Event: 36th International Conference Mathematical Methods in Economics, Jindřichův Hradec (CZ), 20180912
Year: 2018
Language: eng
Abstract: Many economic and financial situations depend simultaneously on a random element and a decision parameter. Mostly, it is possible to influence the above mentioned situation only by an optimization model depending on a probability measure. This optimization problem can be static (one-stage), dynamic with finite or infinite horizon, single-objective or multi-objective. We focus on one-stage multi-objective problems corresponding to applications those are suitable to evaluate simultaneously by a few objectives. The aim of the contribution is to give a survey of different approaches (as they are known from the literature) of the above mentioned applications. To this end we start with well-known mean-risk model and continue with other known approaches. Moreover, we try to complete every model by a suitable application. Except an analysis of a choice of the objective functions type we try to discuss suitable constraints set with respect to the problem base, possible investigation and relaxation. At the end we mention properties of the problem in the case when the theoretical „underlying“ probability measure is replaced by its „deterministic“ or „stochastic“ estimate.
Keywords: constraints set; deterministic approach; mean-risk model; multi-objective optimization problems; random element; relaxation; stochastic multi-objective problems
Project no.: GA18-02739S (CEP)
Funding provider: GA ČR
Host item entry: 36th International Conference Mathematical Methods in Economics, ISBN 978-80-7378-371-6

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/2018/E/kankova-0493605.pdf
Original record: http://hdl.handle.net/11104/0286981

Permalink: http://www.nusl.cz/ntk/nusl-386566

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Conference materials > Papers
 Record created 2018-10-02, last modified 2019-10-20

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