| Title:
|
Multistage stochastic programs via autoregressive sequences and individual probability constraints (English) |
| Author:
|
Kaňková, Vlasta |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
44 |
| Issue:
|
2 |
| Year:
|
2008 |
| Pages:
|
151-170 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
The paper deals with a special case of multistage stochastic programming problems. In particular, the paper deals with multistage stochastic programs in which a random element follows an autoregressive sequence and constraint sets correspond to the individual probability constraints. The aim is to investigate a stability (considered with respect to a probability measures space) and empirical estimates. To achieve new results the Wasserstein metric determined by ${\cal L}_{1}$ norm and results of multiobjective optimization theory are employed. (English) |
| Keyword:
|
multistage stochastic programming problem |
| Keyword:
|
individual probability constraints |
| Keyword:
|
autoregressive sequence |
| Keyword:
|
Wasserstein metric |
| Keyword:
|
empirical estimates |
| Keyword:
|
multiobjective problems |
| MSC:
|
90C15 |
| idZBL:
|
Zbl 1154.90557 |
| idMR:
|
MR2428217 |
| . |
| Date available:
|
2009-09-24T20:33:07Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135841 |
| . |
| Reference:
|
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