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Bibliografie

Conference Paper (Czech conference)

Analysis of Impact of Covariates Entering Stochastic Optimization Problem

Volf Petr

: Proceedingsof the 40th International Conference Mathematical Methods in Economics 2022, p. 398-404 , Eds: Vojáčková Hana

: International Conference Mathematical Methods in Economics 2022 /40./, (Jihlava, CZ, 20220907)

: GA18-02739S, GA ČR

: stochastic optimization, regression model, statistical estimation

: http://library.utia.cas.cz/separaty/2022/SI/volf-0561011.pdf

(eng): In the contribution we study consequences of imperfect information to precision of stochastic optimization solution. In particular, it is assumed that the characteristics of optimization problem are influenced by a set of covariates. This dependence is described via a regression model. Hence, the uncertainty is then caused by statistical estimation of regression parameters. The contribution will analyze several regression model cases, together with their application. Precision of results will be explored, both theoretically as well as with the aid of simulations.

: BB

: 10103

07.01.2019 - 08:39