IDEAS home Printed from https://ideas.repec.org/a/czx/journl/v9y2002i17id114.html
   My bibliography  Save this article

A Remark On Empirical Estimates In Multistage Stochastic Programming

Author

Listed:
  • Vlasta Kaňková

Abstract

A multistage stochastic programming problem can be introduced either as the problem considered with respect to some abstract mathematical space or as a system of parametric optimization problems considered with respect to the Euclidean space with an inner (recurrent) dependence and mathematical (mostly conditional) expectation in the objective functions of the individual problems. Consequently, this type of the problems belongs to the class of optimization problems depending on a probability measure. The aim of the paper is to treat the case when the theoretical underlying probability measure is replaced by an "empirical" one.

Suggested Citation

  • Vlasta Kaňková, 2002. "A Remark On Empirical Estimates In Multistage Stochastic Programming," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 9(17).
  • Handle: RePEc:czx:journl:v:9:y:2002:i:17:id:114
    as

    Download full text from publisher

    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/114
    Download Restriction: no

    More about this item

    Keywords

    Multistage stochastic programming problem; decomposed problems; empirical estimates; consistence; convergence rate; independent random sample;

    JEL classification:

    • C - Mathematical and Quantitative Methods

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:czx:journl:v:9:y:2002:i:17:id:114. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jozef Barunik). General contact details of provider: http://edirc.repec.org/data/czessea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.