Název: A Note on Stochastic Optimization Problems with Nonlinear Dependence on a Probability Measure
Autoři: Kaňková, Vlasta
Typ dokumentu: Příspěvky z konference
Konference/Akce: INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS (MME 2020) /38./, Brno (CZ), 20200909
Rok: 2020
Jazyk: eng
Abstrakt: Nonlinear dependence on a probability measure begins to appear (last time) in a stochastic optimization rather often. Namely, the corresponding type of problems corresponds to many situations in applications. The nonlinear dependence can appear as in the objective functions so in a constraints set. We plan to consider the case of static (one-objective) problems in which nonlinear dependence appears in the objective function with a few types of constraints sets. In details we consider constraints sets “deterministic”, depending nonlinearly on the probability measure, constraints set determined by second order stochastic dominance and the sets given by mean-risk problems. The last case means that the constraints set corresponds to solutions those guarantee an acceptable value in both criteria. To introduce corresponding assertions we employ the stability results based on the Wasserstein metric and L1 norm. Moreover, we try to deal also with the case when all results have to be obtained (estimated) on the data base.
Klíčová slova: Empirical estimates; Nonlinear dependence; Static problems; Stochastic optimization problem
Číslo projektu: GA18-02739S (CEP)
Poskytovatel projektu: GA ČR
Zdrojový dokument: Proceedings of the 38th International Conference on Mathematical Methods in Economics, ISBN 978-80-7509-734-7

Instituce: Ústav teorie informace a automatizace AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: http://library.utia.cas.cz/separaty/2020/E/kankova-0536237.pdf
Původní záznam: http://hdl.handle.net/11104/0314174

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-432696


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