Multistage Stochastic Programming via Autoregressive Sequences

Autoregresní posloupnosti v úlohách vícestupňového stochastického programování

Vlasta Kaňková ()

Acta Oeconomica Pragensia, 2007, vol. 2007, issue 4, 99-110

Abstract: Economic activities developing over time are very often influenced simultaneously by a random factor (modeled mostly by a stochastic process) and a "decision" parameter (that has to be chosen according to economic possibilities). Theory of multistage stochastic programming, controlled Markov processes as well as empirical processes can be employed to treat the economic processes. We focus on the multistage stochastic problems with the individual probability constraints and random element following an autoregressive (generally) nonlinear sequence.

Keywords: economic processes; multistage stochastic programming; autoregressive sequences; individual probability constraints (search for similar items in EconPapers)
JEL-codes: C44 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.18267/j.aop.79

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