Original title:
Economic and Financial Problems via Multiobjective Stochastic Optimization
Authors:
Kaňková, Vlasta Document type: Papers Conference/Event: MME 2013. International Conference on Mathematical Methods in Economics 2013 /31./, Jihlava (CZ), 2013-09-11 / 2013-09-13
Year:
2013
Language:
eng Abstract:
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.
Keywords:
efficient solution; empirical estimates; L_1 norm; Lipschitz property; stochastic multiobjective optimization problems; Wasserstein metric Project no.: GA13-14445S (CEP), GAP402/11/0150 (CEP) Funding provider: GA ČR, GA ČR Host item entry: Proceedings of the 31st International Conference Mathematical Methods in Economics 2013, ISBN 978-80-87035-76-4