| bibtype |
J -
Journal Article
|
| ARLID |
0566099 |
| utime |
20230418205259.5 |
| mtime |
20230102235959.9 |
| SCOPUS |
85145910946 |
| DOI |
10.17535/crorr.2022.0017 |
| title
(primary) (eng) |
On impact of statistical estimates on precision of stochastic optimization |
| specification |
| page_count |
11 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0505981 |
| ISSN |
1848-0225 |
| title
|
Croatian Operational Research Review |
| volume_id |
13 |
| volume |
2 (2022) |
| page_num |
227-237 |
| publisher |
| name |
Croatian Operational Research Society |
|
|
| keyword |
stochastic optimization |
| keyword |
regression model |
| keyword |
statistical estimation |
| keyword |
optimal maintenance |
| author
(primary) |
| ARLID |
cav_un_auth*0101227 |
| name1 |
Volf |
| name2 |
Petr |
| institution |
UTIA-B |
| full_dept (cz) |
Stochastická informatika |
| full_dept (eng) |
Department of Stochastic Informatics |
| department (cz) |
SI |
| department (eng) |
SI |
| full_dept |
Department of Stochastic Informatics |
| share |
100 |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| abstract
(eng) |
This paper studies the consequences of imperfect information for the precision of stochastic optimization. In particular, it is assumed that the stochastic characteristics of an optimization problem depend on unknown parameters estimated from available data. First, a theoretical result is presented, showing that consistent parameters estimation leads to consistent optimization. Further, a type of the studied models is specified, it is assumed that the random variables present in the optimization problem are influenced by covariates. This influence is expressed via a parametric regression model, whose parameters have to be estimated and used instead of the unknown correct parameters values. The objective is then to explore, with the aid of simulations, the imprecision of the optimization based on these estimates. Several types of regression models are recalled, the variability of estimates and the related precision of sub-optimal solutions is studied in detail on an example dealing with optimal maintenance. The impact of random right-censoring on the deterioration of precision is studied as well. |
| result_subspec |
SCOPUS |
| RIV |
BB |
| FORD0 |
10000 |
| FORD1 |
10100 |
| FORD2 |
10103 |
| reportyear |
2023 |
| num_of_auth |
1 |
| inst_support |
RVO:67985556 |
| permalink |
https://hdl.handle.net/11104/0337923 |
| confidential |
S |
| mrcbC91 |
C |
| mrcbT16-s |
0.25 |
| mrcbT16-E |
Q4 |
| arlyear |
2022 |
| mrcbU14 |
85145910946 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
WOS |
| mrcbU63 |
cav_un_epca*0505981 Croatian Operational Research Review 1848-0225 1848-9931 Roč. 13 č. 2 2022 227 237 Croatian Operational Research Society |
|