Institute of Information Theory and Automation

You are here

Bibliography

Conference Paper (international conference)

Convexity in stochastic programming model with indicators of ecological stability

Houda Michal

: Proceedings of 30th International Conference Mathematical Methods in Economics, p. 314-319 , Eds: Ramík Jaroslav, Stavárek Daniel

: 30th International Conference Mathematical Methods in Economics 2012, (Karviná, CZ, 11.09.2012-13.09.2012)

: GAP402/10/0956, GA ČR

: stochastic programming, convexity, value-at-risk models

: http://library.utia.cas.cz/separaty/2012/E/houda-convexity in stochastic programming model with indicators of ecological stability.pdf

(eng): We develop an optimization model dealing with construction expenses that are prescribed as a result of the EIA (Environmental Impact Assessment) process. The process is an obligatory part of every large construction project and evaluates possible influences of the project to the environment, including population health, natural and other socio-economic aspects; the result of the process is a set of recommendation and arrangements the construction must meet. Our optimization model incorporates uncertainties in model parameters; we represent them through their probabilistic distribution. Furthermore, to overcome a problem with quantifying subjective utility function of ecological impacts, we measure them by so-called indicators of ecological stability. The resulting problem is stochastic programming problem formulated as (C)VaR model used traditionally in finance area. In our contribution we deal with convexity properties of this problem – these are especially important from the theoretical as well as from the computational point of view.

: BB

2019-01-07 08:39