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Hranice výrobních možností a stochastické programování
Chovanec, Petr
By its nature, Data Envelopment Analysis (DEA) leaves no room for uncertainy in data such as measurement errors. To improve this fact, we consider $alpha$-stochastic efficiency concept, and we relate this problem to the stochastic programming problem. Two types of probability inequalities are employed for introducting new criteria for efficiency.
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Odhadování v úlohách s pravděpodobnostními omezeními
Houda, Michal
Many engineering and economic applications make use of the stochastic programming theory. Major part of models require a complete knowledge of distribution of random parameters, but this assumption is rarely accomplished. We then need to study behaviour of optimal solution when the distribution changes slightly. In our contribution we consider the chance constrained problem;we recapitulated some known theoretical results about stability and estimation of the problem.
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Nová kriteria pro stochastiku DEA
Chovanec, Petr
By its nature, Data Envelopment Analysis (DEA) leaves no room for uncertainty in data such as measurement errors. To improve this fact, we consider a-stochastic efficiency concept, and we relate this problem to the stochastic programming problem. Probability inequalities are employed for introducing ew criteria, and two special cases for normal and for general distribution are discussed. The strengths of new criteria are illustrated with a numerical example.
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Predpovídání ve dvojité aukci se spojitým časem
Šmíd, Martin
Recently, the continuous double auction, i.e. the trading mechanism used in the majority of the financial markets, is the subject of an extensive study. In the present paper, a model of the continuous double auction with the completely random flow of the limit orders is studied. The main result of the paper is an approximate formula for the distribution of the market price and the traded volume at the time s given the information available at t < s.
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Stabilita úloh stochastického programování s lineární kompenzací
Kaňková, Vlasta
Stochastic programming problems with recourse is a composition of inner and outer optimization problems. A solution of the outer problem depends on the "underlying" probability measure, a solution of inner problem depends on the solution of the outer problem and on the random element realization. Consequently (in the case of the optimal solution of the outer problem) the optimal value and the solution of the inner problem depend also on the probability measure. The aim is to investigate this dependence.
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Bayesovská analýza časových řad s kovariátami
Volf, Petr
Bayes methods (supported by MCMC computations) allows to deal with enhanced statistical models. It concerns also time series analysis, where the autoregressive character can be incorporated already to Bayes prior model and one can consider simultaneously a similar time development of other parameters. In present contribution the methodology is used to the analysis of time series of aggregated unemployment data, model contains regression on age, gender, region, and time-dependent variance.
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Model malé otevřené ekonomiky a možnost komplexnějšího dynamického chování
Kodera, J. ; Sladký, Karel ; Vošvrda, Miloslav
The purpose of this paper is study a three-equation dynamic model. The first equation describes commodity market. The second one demonstrates the dynamics of money market and the third equation is the interest rate parity. The task is to investigate the conditions of more complex behaviour of the model and its dependence on the money stock. The more complex dynamic behaviour, i.e., limit cycle, could appear by adding nonlinear perturbations in the investment demand function.
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Ekonomické procesy a empirická data
Kaňková, Vlasta
Optimizatiom problems depending on a completely unknown probability measure are considered. In particular, there are considered optimization problems with objective functions in a form mathematical expectation of functions depednding on a random parameter. In such situations, usually, an empirical measure replaced the theoretical one. The aim of the paper is to discuss corresponding estimates of the optimal value and optimal solution based on the independent as well as on some types od dependent data.
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