Název: Multi-Objective Optimization Problems with Random Elements - Survey of Approaches
Autoři: Kaňková, Vlasta
Typ dokumentu: Příspěvky z konference
Konference/Akce: 36th International Conference Mathematical Methods in Economics, Jindřichův Hradec (CZ), 20180912
Rok: 2018
Jazyk: eng
Abstrakt: Many economic and financial situations depend simultaneously on a random element and a decision parameter. Mostly, it is possible to influence the above mentioned situation only by an optimization model depending on a probability measure. This optimization problem can be static (one-stage), dynamic with finite or infinite horizon, single-objective or multi-objective. We focus on one-stage multi-objective problems corresponding to applications those are suitable to evaluate simultaneously by a few objectives. The aim of the contribution is to give a survey of different approaches (as they are known from the literature) of the above mentioned applications. To this end we start with well-known mean-risk model and continue with other known approaches. Moreover, we try to complete every model by a suitable application. Except an analysis of a choice of the objective functions type we try to discuss suitable constraints set with respect to the problem base, possible investigation and relaxation. At the end we mention properties of the problem in the case when the theoretical „underlying“ probability measure is replaced by its „deterministic“ or „stochastic“ estimate.
Klíčová slova: constraints set; deterministic approach; mean-risk model; multi-objective optimization problems; random element; relaxation; stochastic multi-objective problems
Číslo projektu: GA18-02739S (CEP)
Poskytovatel projektu: GA ČR
Zdrojový dokument: 36th International Conference Mathematical Methods in Economics, ISBN 978-80-7378-371-6

Instituce: Ústav teorie informace a automatizace AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: http://library.utia.cas.cz/separaty/2018/E/kankova-0493605.pdf
Původní záznam: http://hdl.handle.net/11104/0286981

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-386566


Záznam je zařazen do těchto sbírek:
Věda a výzkum > AV ČR > Ústav teorie informace a automatizace
Konferenční materiály > Příspěvky z konference