Název: Convexity in stochastic programming model with indicators of ecological stability
Autoři: Houda, Michal
Typ dokumentu: Příspěvky z konference
Konference/Akce: 30th International Conference Mathematical Methods in Economics 2012, Karviná (CZ), 2012-09-11 / 2012-09-13
Rok: 2012
Jazyk: eng
Abstrakt: We develop an optimization model dealing with construction expenses that are prescribed as a result of the EIA (Environmental Impact Assessment) process. The process is an obligatory part of every large construction project and evaluates possible influences of the project to the environment, including population health, natural and other socio-economic aspects; the result of the process is a set of recommendation and arrangements the construction must meet. Our optimization model incorporates uncertainties in model parameters; we represent them through their probabilistic distribution. Furthermore, to overcome a problem with quantifying subjective utility function of ecological impacts, we measure them by so-called indicators of ecological stability. The resulting problem is stochastic programming problem formulated as (C)VaR model used traditionally in finance area. In our contribution we deal with convexity properties of this problem – these are especially important from the theoretical as well as from the computational point of view.
Klíčová slova: convexity; stochastic programming; value-at-risk models
Číslo projektu: GAP402/10/0956 (CEP)
Poskytovatel projektu: GA ČR
Zdrojový dokument: Proceedings of 30th International Conference Mathematical Methods in Economics, ISBN 978-80-7248-779-0

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/2012/E/houda-convexity in stochastic programming model with indicators of ecological stability.pdf
Původní záznam: http://hdl.handle.net/11104/0212459

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-126826


Záznam je zařazen do těchto sbírek:
Věda a výzkum > AV ČR > Ústav teorie informace a automatizace
Konferenční materiály > Příspěvky z konference