Solution robustness analysis

Pelikán, Jan, 1943-

Solution robustness analysis / Jan Pelikán, Maria Kobzareva. -- 1 graf, 1 tabulka. -- Abstract: Nowadays a great research interest is devoted to uncertainty modeling, as changes in data can cause current solution to become non-optimal and present poor results from the objective function point of view. One of the popular approaches which deals with problem with uncertain data is robust optimization, which is designed to find solutions that are robust, which means that the solution does not depend on changes of certain parameters. This paper focuses on robust analysis of optimal solution and calculating its stability interval using proposed approaches based on interval programming. Stability of solution is calculated according to the possible changes in objective function coefficients only. Proposed method is compared with sensitivity analysis and parametric programming, main differences are outlined. The method is illustrates on an example. -- Dostupné též v elektronické podobě.
In: Hradecké ekonomické dny. -- Hradec Economic Days. -- 411 s.. -- Hradec Králové: University of Hradec Králové, 2016. -- ISSN 2464-6059. -- 978-80-7435-634-6. -- S. 353-361 (tištěný sborník), s. 808-816 (online zdroj).
I. Kobzareva, Maria


ekonometrie * ekonometrické modely * ekonomická analýza * robustní statistika * články ze sborníku