Název: Ambiguity in Stochastic Optimization Problems with Nonlinear Dependence on a Probability Measure via Wasserstein Metric
Autoři: Kaňková, Vlasta
Typ dokumentu: Příspěvky z konference
Konference/Akce: MME 2023: Mathematical Methods in Economics /41./, Prague (CZ), 20230913
Rok: 2023
Jazyk: eng
Abstrakt: Many economic and financial applications lead to deterministic optimization problems depending on a probability measure. It happens very often (in applications) that these problems have to be solved on the data base. Point estimates of an optimal value and estimates of an optimal solutionset can be obtained by this approach. A consistency, a rate of convergence and normal properties, of these estimates, have been discussed (many times) not only under assumptions of independent data corresponding to the distributions with light tails, but also for weak dependent data and the distributions with heavy tails. However, it is also possible to estimate (on the data base) a confidence intervals and bounds for the optimal value and the optimal solutions. To analyze this approach we focus on a special case of static problems depending nonlineary on the probability measure. Stability results based on the Wasserstein metric and the Valander approach will be employed for the above mentioned analysis.
Klíčová slova: empirical measure; interval estimates; nonlinear dependence; point estimates; static problems; Stochastic optimization problems
Číslo projektu: GA18-02739S (CEP)
Poskytovatel projektu: GA ČR
Zdrojový dokument: Proceedings of the 41st International Conference on Mathematical Methods in Econometrics, ISBN 978-80-11-04132-8, ISSN 2788-3965

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/2023/E/kankova-0583619.pdf
Původní záznam: https://hdl.handle.net/11104/0351623

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-541554


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Věda a výzkum > AV ČR > Ústav teorie informace a automatizace
Konferenční materiály > Příspěvky z konference