Displaying similar documents to “Local stability and differentiability of the Mean–Conditional Value at Risk model defined on the mixed–integer loss functions”

Empirical estimates in stochastic optimization via distribution tails

Vlasta Kaňková (2010)

Kybernetika

Similarity:

“Classical” optimization problems depending on a probability measure belong mostly to nonlinear deterministic optimization problems that are, from the numerical point of view, relatively complicated. On the other hand, these problems fulfil very often assumptions giving a possibility to replace the “underlying” probability measure by an empirical one to obtain “good” empirical estimates of the optimal value and the optimal solution. Convergence rate of these estimates have been studied...

Stochastic geometric programming with an application

Jitka Dupačová (2010)

Kybernetika

Similarity:

In applications of geometric programming, some coefficients and/or exponents may not be precisely known. Stochastic geometric programming can be used to deal with such situations. In this paper, we shall indicate which stochastic programming approaches and which structural and distributional assumptions do not destroy the favorable structure of geometric programs. The already recognized possibilities are extended for a tracking model and stochastic sensitivity analysis is presented in...

Tractable algorithms for chance-constrained combinatorial problems

Olivier Klopfenstein (2009)

RAIRO - Operations Research

Similarity:

This paper aims at proposing tractable algorithms to find effectively good solutions to large size chance-constrained combinatorial problems. A new robust model is introduced to deal with uncertainty in mixed-integer linear problems. It is shown to be strongly related to chance-constrained programming when considering pure 0–1 problems. Furthermore, its tractability is highlighted. Then, an optimization algorithm is designed to provide possibly good solutions to chance-constrained...

Measuring of second–order stochastic dominance portfolio efficiency

Miloš Kopa (2010)

Kybernetika

Similarity:

In this paper, we deal with second-order stochastic dominance (SSD) portfolio efficiency with respect to all portfolios that can be created from a considered set of assets. Assuming scenario approach for distribution of returns several SSD portfolio efficiency tests were proposed. We introduce a δ -SSD portfolio efficiency approach and we analyze the stability of SSD portfolio efficiency and δ -SSD portfolio efficiency classification with respect to changes in scenarios of returns. We...