Institute of Information Theory and Automation

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Stochastic Optimization in Economic Processes

Agency: 
GACR
Identification Code: 
GA18-02739S
Start: 
2018-01-01
End: 
2020-12-31
Project Focus: 
teoretický
Project Type (EU): 
other
Abstract: 
Multi-objective stochastic programming problems correspond to economic situations in which economic process is simultaneously influenced by a random environment and a decision parameter selected with respect to multi-objective optimization problem depending on the probability measure. In applications very often the actual probability measure is a little perturbed, has to be replaced by empirical one or for numerical reasons has to be approximated by a simpler one. Consequently, two multi-objective stochastic optimization problems (real and approximative) correspond to the original situation. The aim of the grant project is to focus on the investigation of the relationship between them, especially in the cases of stochastic dominance constraints, probability constraints and rather general objectives (including nonlinear dependence on the measure).
Publications ÚTIA: 
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2019-09-18 09:49