1. Multistage stochastic programs via autoregressive sequences and individual probability constraints
- Creator:
- Kaňková, Vlasta
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- multistage stochastic programming problem, individual probability constraints, autoregressive sequence, Wasserstein metric, empirical estimates, and multiobjective problems
- Language:
- English
- 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.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public