Multistage stochastic programs via autoregressive sequences and individual probability constraints

Title:

Multistage stochastic programs via autoregressive sequences and individual probability constraints

Creator:

Kaňková, Vlasta

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:744470ec-4271-444f-a3fb-d0300470ec39
uuid:744470ec-4271-444f-a3fb-d0300470ec39

Subject:

multistage stochastic programming problem, individual probability constraints, autoregressive sequence, Wasserstein metric, empirical estimates, and multiobjective problems

Type:

model:article and TEXT

Format:

bez média and svazek

Description:

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 L1 norm and results of multiobjective optimization theory are employed.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[151]-170

Source:

Kybernetika | 2008 Volume:44 | Number:2

Harvested from:

CDK

Metadata only:

false