Uncertainties in minimax stochastic programs
Uncertainties in minimax stochastic programs
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DOI：
10.1080/02331934.2010.532214
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发表时间：
2011-10
期刊：
影响因子：
2.2
通讯作者：
J. Dupacová
中科院分区：
文献类型：
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作者：
J. Dupacová
当使用极小极大方法时，人们试图对冲属于特定类别𝒫的最坏可能分布。对于此类的选择，对结果进行适当的稳定性分析是一个重要问题。它必须根据极小极大问题的类型、考虑的概率分布类别以及预期的输入扰动进行定制。我们将主要关注其支持属于给定集合并且满足某些矩条件的概率分布类。我们将利用参数规划和渐近统计的结果来分析输入信息变化的影响。其中，将证明针对一致估计矩获得的极小极大解的一致性。
When using the minimax approach one tries to hedge against the worst possible distribution belonging to a specified class 𝒫. A suitable stability analysis of results with respect to the choice of this class is an important issue. It has to be tailored to the type of the minimax problem, to the considered class of probability distributions and to the anticipated input perturbations. We shall be mainly concerned with the class of probability distributions whose supports belong to a given set and which fulfil certain moment conditions. We shall utilize results of parametric programming and of asymptotic statistics to analyse the effect of changes in input information. Among others, consistency of minimax solutions obtained for consistently estimated moments will be proved.