Stochastic optimization problems with second order stochastic dominance constraints via Wasserstein metric
Optimization problems with stochastic dominance constraints are helpful to many real-life applications. We can recall e. g., problems of portfolio selection or problems connected with energy production. The above mentioned constraints are very suitable because they guarantee a solution fulfilling partial order between utility functions in a given subsystem U of the utility functions. Especially, c…
Tvůrce
- Kaňková, Vlasta
- Omelčenko, Vadim
Předmět
- stochastic programming problems
- second order stochastic dominance constraints
- stability
- Wasserstein metric
- relaxation
- scenario generation
- empirical estimates
- light- and heavy-tailed distributions
- crossing
Typ položka
- model:article
Tvůrce
- Kaňková, Vlasta
- Omelčenko, Vadim
Předmět
- stochastic programming problems
- second order stochastic dominance constraints
- stability
- Wasserstein metric
- relaxation
- scenario generation
- empirical estimates
- light- and heavy-tailed distributions
- crossing
Typ položka
- model:article
Poskytovatelská instituce
Agregátor
Výrok o právech tohoto položka (není-li uvedeno jinak)
- http://creativecommons.org/licenses/by-nc-sa/4.0/
Práva
- policy:public
Zdroj
- Kybernetika | 2018 Volume:54 | Number:6
Identifikátor
- https://cdk.lib.cas.cz/client/handle/uuid:690dc7a2-7011-4ed6-bb71-052f58f18973
- uuid:690dc7a2-7011-4ed6-bb71-052f58f18973
- doi:10.14736/kyb-2018-6-1231
- uuid:690dc7a2-7011-4ed6-bb71-052f58f18973
Formát
- bez média
- svazek
Jazyk
- eng
- eng
Země původu
- Czech Republic
Název kolekce
Poprvé zveřejněno na Europeana
- 2021-05-21T06:43:45.539Z
Poslední aktualizace od poskytující instituce
- 2021-12-25T05:07:51.358Z