Multistage stochastic programs via autoregressive sequences and individual probability constraints

Vlasta Kaňková

Kybernetika (2008)

  • Volume: 44, Issue: 2, page 151-170
  • ISSN: 0023-5954

Abstract

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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 1 norm and results of multiobjective optimization theory are employed.

How to cite

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Kaňková, Vlasta. "Multistage stochastic programs via autoregressive sequences and individual probability constraints." Kybernetika 44.2 (2008): 151-170. <http://eudml.org/doc/33919>.

@article{Kaňková2008,
abstract = {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 $\{\mathcal \{L\}\}_\{1\}$ norm and results of multiobjective optimization theory are employed.},
author = {Kaňková, Vlasta},
journal = {Kybernetika},
keywords = {multistage stochastic programming problem; individual probability constraints; autoregressive sequence; Wasserstein metric; empirical estimates; multiobjective problems; multistage stochastic programming problem; individual probability constraints; autoregressive sequence; Wasserstein metric; empirical estimates; multiobjective problems},
language = {eng},
number = {2},
pages = {151-170},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Multistage stochastic programs via autoregressive sequences and individual probability constraints},
url = {http://eudml.org/doc/33919},
volume = {44},
year = {2008},
}

TY - JOUR
AU - Kaňková, Vlasta
TI - Multistage stochastic programs via autoregressive sequences and individual probability constraints
JO - Kybernetika
PY - 2008
PB - Institute of Information Theory and Automation AS CR
VL - 44
IS - 2
SP - 151
EP - 170
AB - 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 ${\mathcal {L}}_{1}$ norm and results of multiobjective optimization theory are employed.
LA - eng
KW - multistage stochastic programming problem; individual probability constraints; autoregressive sequence; Wasserstein metric; empirical estimates; multiobjective problems; multistage stochastic programming problem; individual probability constraints; autoregressive sequence; Wasserstein metric; empirical estimates; multiobjective problems
UR - http://eudml.org/doc/33919
ER -

References

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