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A Note On Interval Estimates In Stochastic Optimization

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  • Vlasta Kaňková
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    Abstract

    Economic, social, engineering, medical as well as financial activities lead very often (from the mathematical point of view) to deterministic optimization problems depending on an unknown probability measure. Evidently, an experience is then employed whenever it is possible. Mostly, it means that the unknown probability measure is substituted by some its statistical estimate to obtain at least estimates of the optimal value and the optimal solution. A great attention has been paid (in the literature) to an investigation of the points estimates. In this paper we focus our effort to interval estimates. To this end we use the already known stability results.

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    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/35
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    Bibliographic Info

    Article provided by The Czech Econometric Society in its journal Bulletin of the Czech Econometric Society.

    Volume (Year): 3 (1996)
    Issue (Month): 5 ()
    Pages:

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    Handle: RePEc:czx:journl:v:3:y:1996:i:5:id:35

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    Keywords: Stochastic optimization problem; penalty function; recourse problem; point estimate; interval estimate; Kolmogorov metric; empirical distribution function; location parameter.;

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