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A Note On Interval Estimates In Stochastic Optimization

Author

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  • Vlasta Kaňková

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.

Suggested Citation

  • Vlasta Kaňková, 1996. "A Note On Interval Estimates In Stochastic Optimization," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 3(5).
  • Handle: RePEc:czx:journl:v:3:y:1996:i:5:id:35
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    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/35
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    Keywords

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

    JEL classification:

    • C - Mathematical and Quantitative Methods
    • P - Economic Systems

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