Original title: Analysis of Impact of Covariates Entering Stochastic Optimization Problem
Authors: Volf, Petr
Document type: Papers
Conference/Event: International Conference Mathematical Methods in Economics 2022 /40./, Jihlava (CZ), 20220907
Year: 2022
Language: eng
Abstract: In the contribution we study consequences of imperfect information to precision of stochastic optimization solution. In particular, it is assumed that the characteristics of optimization problem are influenced by a set of covariates. This dependence is described via a regression model. Hence, the uncertainty is then caused by statistical estimation of regression parameters. The contribution will analyze several regression model cases, together with their application. Precision of results will be explored, both theoretically as well as with the aid of simulations.
Keywords: regression model; statistical estimation; stochastic optimization
Project no.: GA18-02739S (CEP)
Funding provider: GA ČR
Host item entry: Proceedingsof the 40th International Conference Mathematical Methods in Economics 2022, ISBN 978-80-88064-62-6

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/2022/SI/volf-0561011.pdf
Original record: https://hdl.handle.net/11104/0333905

Permalink: http://www.nusl.cz/ntk/nusl-508706


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