Institute of Information Theory and Automation

Publication details

Thin and heavy tails in stochastic programming

Journal Article

Kaňková Vlasta, Houda Michal


serial: Kybernetika vol.51, 3 (2015), p. 433-456

project(s): GA13-14445S, GA ČR

keywords: stochastic programming problems, stability, Wasserstein metric, L1 norm, Lipschitz property, empirical estimates, convergence rate, linear and nonlinear dependence, probability and risk constraints, stochastic dominance

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abstract (eng):

Optimization problems depending on a probability measure correspond to many applications. These problems can be static (single-stage), dynamic with finite (multi-stage) or infinite horizon, single- or multi-objective. It is necessary to have complete knowledge of the underlying probability measure if we are to solve the above-mentioned problems with precision. However this assumption is very rarely fulfilled (in applications) and consequently, problems have to be solved mostly on the basis of data. Stochastic estimates of an optimal value and an optimal solution can only be obtained using this approach. Properties of these estimates have been investigated many times. In this paper we intend to study one-stage problems under unusual (corresponding to reality, however) assumptions. In particular, we try to compare the achieved results under the assumptions of thin and heavy tails in the case of problems with linear and nonlinear dependence on the probability measure, problems with probability and risk measure constraints, and the case of stochastic dominance constraints.

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Institute of Information Theory and Automation