| Title:
|
On precision of stochastic optimization based on estimates from censored data (English) |
| Author:
|
Volf, Petr |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 (print) |
| ISSN:
|
1805-949X (online) |
| Volume:
|
50 |
| Issue:
|
3 |
| Year:
|
2014 |
| Pages:
|
297-309 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
In the framework of a stochastic optimization problem, it is assumed that the stochastic characteristics of optimized system are estimated from randomly right-censored data. Such a case is frequently encountered in time-to-event or lifetime studies. The analysis of precision of such a solution is based on corresponding theoretical properties of estimated stochastic characteristics. The main concern is to show consistency of optimal solution even in the random censoring case. Behavior of solutions for finite data sizes is studied with the aid of randomly generated example. (English) |
| Keyword:
|
optimization |
| Keyword:
|
censored data |
| Keyword:
|
product-limit estimate |
| Keyword:
|
consistency |
| MSC:
|
62N02 |
| MSC:
|
62P25 |
| MSC:
|
90C15 |
| idZBL:
|
Zbl 1297.62205 |
| idMR:
|
MR3245532 |
| DOI:
|
10.14736/kyb-2014-3-0297 |
| . |
| Date available:
|
2014-07-29T13:01:49Z |
| Last updated:
|
2016-01-03 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/143876 |
| . |
| Reference:
|
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| Reference:
|
[2] Dupačová, J., Wets, R.: Asymptotic behaviour of statistical estimates and optimal solutions of stochastic optimization problems..Ann. Statist. 16 (1984), 1517-1549. MR 0964937, 10.1214/aos/1176351052 |
| Reference:
|
[3] Houda, M., Kaňková, V.: Empirical estimates in economic and financial optimization problems..Bull. Czech Econometr. Soc. 19 (2012), 50-69. |
| Reference:
|
[4] Kalbfleisch, J. D., Prentice, R. L.: The Statistical Analysis of Failure Time Data. Second edition..Wiley, New York 2002. MR 1924807 |
| Reference:
|
[5] Kaňková, V.: Empirical estimates in stochastic optimization via distribution tails..Kybernetika 46 (2010), 459-471. Zbl 1225.90092, MR 2676083 |
| Reference:
|
[6] Rejto, L.: On fixed censoring model and consequences for the stochastic case..In: Trans. 9th Prague Conference on Stochastic Decision Functions 1982, Academia, Prague 1983, pp. 141-147. MR 0757919 |
| Reference:
|
[7] Robbins, H., Siegmund, D.: Boundary crossing probabilities for a Wiener process and sample sums..Ann. Math. Statist. 41 (1970), 1410-1429. MR 0277059, 10.1214/aoms/1177696787 |
| Reference:
|
[8] Volf, P.: On precision of optimization in the case of incomplete information..Bull. Czech Econometr. Soc. 19 (2012), 170-184. |
| . |
