Název:
Economic and Financial Problems via Multiobjective Stochastic Optimization
Autoři:
Kaňková, Vlasta Typ dokumentu: Příspěvky z konference Konference/Akce: MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./, Jihlava (CZ), 2013-09-11 / 2013-09-13
Rok:
2013
Jazyk:
eng
Abstrakt: Multiobjective optimization problems depending on a probability measure correspond to many economic and financial activities. Evidently if the probability measure is completely known, then we can try to influence economic process employing methods of multiobjective deterministic optimization theory. Since this assumption is fulfilled very seldom we have mostly to analyze the mathematical model and consequently also economic process on the data base. The aim of the talk will be to investigate a relationship between ``characteristics" obtained on the base of complete knowledge of the probability measure and them obtained on the above mentioned data base. To this end, the results of the deterministic multiobjective optimization theory and the results obtained for stochastic one objective problems will be employed.
Klíčová slova:
efficient solution; empirical estimates; L_1 norm; Lipschitz property; stochastic multiobjective optimization problems; Wasserstein metric Číslo projektu: GA13-14445S (CEP), GAP402/11/0150 (CEP) Poskytovatel projektu: GA ČR, GA ČR Zdrojový dokument: Proceedings of the 31st International Conference Mathematical Methods in Economics 2013, ISBN 978-80-87035-76-4