IDEAS home Printed from https://ideas.repec.org/a/spr/cejnor/v24y2016i2d10.1007_s10100-015-0414-7.html
   My bibliography  Save this article

A remark on multiobjective stochastic optimization via strongly convex functions

Author

Listed:
  • Vlasta Kaňková

    () (Institute of Information Theory and Automation of the CAS)

Abstract

Abstract Many economic and financial applications lead (from the mathematical point of view) to deterministic optimization problems depending on a probability measure. These problems can be static (one stage), dynamic with finite (multistage) or infinite horizon, single objective or multiobjective. We focus on one-stage case in multiobjective setting. Evidently, well known results from the deterministic optimization theory can be employed in the case when the “underlying” probability measure is completely known. The assumption of a complete knowledge of the probability measure is fulfilled very seldom. Consequently, we have mostly to analyze the mathematical models on the data base to obtain a stochastic estimate of the corresponding “theoretical” characteristics. However, the investigation of these estimates has been done mostly in one-objective case. In this paper we focus on the investigation of the relationship between “characteristics” obtained on the base of complete knowledge of the probability measure and estimates obtained on the (above mentioned) data base, mostly in the multiobjective case. Consequently we obtain also the relationship between analysis (based on the data) of the economic process characteristics and “real” economic process. To this end the results of the deterministic multiobjective optimization theory and the results obtained for stochastic one objective problems will be employed.

Suggested Citation

  • Vlasta Kaňková, 2016. "A remark on multiobjective stochastic optimization via strongly convex functions," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(2), pages 309-333, June.
  • Handle: RePEc:spr:cejnor:v:24:y:2016:i:2:d:10.1007_s10100-015-0414-7
    DOI: 10.1007/s10100-015-0414-7
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10100-015-0414-7
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Vadym Omelchenko, 2012. "Behaviour and convergence of Wasserstein metric in the framework of stable distributions," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 19(30).
    2. Michal Houda & Vlasta Kaňková, 2012. "Empirical Estimates in Economic and Financial Optimization Problems," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 19(29).
    3. Dorota Kuchta, 2011. "A concept of a robust solution of a multicriterial linear programming problem," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 19(4), pages 605-613, December.
    4. Jitka Dupačová & Miloš Kopa, 2012. "Robustness in stochastic programs with risk constraints," Annals of Operations Research, Springer, vol. 200(1), pages 55-74, November.
    5. Abdelaziz, Fouad Ben, 2012. "Solution approaches for the multiobjective stochastic programming," European Journal of Operational Research, Elsevier, vol. 216(1), pages 1-16.
    Full references (including those not matched with items on IDEAS)

    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:spr:cejnor:v:24:y:2016:i:2:d:10.1007_s10100-015-0414-7. 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: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.