Previous |  Up |  Next


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:
Reference: [1] Breslow, N., Crowley, J. E.: A large sample study of the life table and product limit estimates under random censorship..Ann. Statist. 2 (1974), 437-453. Zbl 0283.62023, MR 0458674, 10.1214/aos/1176342705
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.


Files Size Format View
Kybernetika_50-2014-3_1.pdf 415.9Kb application/pdf View/Open
Back to standard record
Partner of
EuDML logo