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Description
  • The paper deals with the theory of sample approximation techniques applied to stochastic programming problems with expected value constraints. We extend the results on the rates of convergence to the problems with a mixed-integer bounded set of feasible solutions and several expected value constraints. Moreover, we enable non-iid sampling and consider Hölder-calmness of the constraints. We derive estimates on the sample size necessary to get a feasible solution or a lower bound on the optimal value of the original problem using the sample approximation. We present an application of the estimates to an investment problem with the Conditional Value at Risk constraints, integer allocations and transaction costs.
  • The paper deals with the theory of sample approximation techniques applied to stochastic programming problems with expected value constraints. We extend the results on the rates of convergence to the problems with a mixed-integer bounded set of feasible solutions and several expected value constraints. Moreover, we enable non-iid sampling and consider Hölder-calmness of the constraints. We derive estimates on the sample size necessary to get a feasible solution or a lower bound on the optimal value of the original problem using the sample approximation. We present an application of the estimates to an investment problem with the Conditional Value at Risk constraints, integer allocations and transaction costs. (en)
Title
  • Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints
  • Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints (en)
skos:prefLabel
  • Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints
  • Sample approximation technique for mixed-integer stochastic programming problems with expected value constraints (en)
skos:notation
  • RIV/00216208:11320/14:10135324!RIV15-MSM-11320___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • I, P(GAP402/12/0558), P(GP13-03749P)
http://linked.open...iv/cisloPeriodika
  • 3
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
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http://linked.open...titaPredkladatele
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  • 43764
http://linked.open...ai/riv/idVysledku
  • RIV/00216208:11320/14:10135324
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Conditional Value at Risk; Hölder-calmness; Non-iid sampling; Rate of convergence; Sample approximation; Expected value constrained problems (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • DE - Spolková republika Německo
http://linked.open...ontrolniKodProRIV
  • [A60629F2652D]
http://linked.open...i/riv/nazevZdroje
  • Optimization Letters
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http://linked.open...ichTvurcuVysledku
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http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 8
http://linked.open...iv/tvurceVysledku
  • Branda, Martin
http://linked.open...ain/vavai/riv/wos
  • 000332128300006
issn
  • 1862-4472
number of pages
http://bibframe.org/vocab/doi
  • 10.1007/s11590-013-0642-5
http://localhost/t...ganizacniJednotka
  • 11320
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