Geodesic
Multistage stochastic programs via autoregressive sequences and individual probability constraints
Kybernetika, Tome 44 (2008) no. 2, pp. 151-170.

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The paper deals with a special case of multistage stochastic programming problems. In particular, the paper deals with multistage stochastic programs in which a random element follows an autoregressive sequence and constraint sets correspond to the individual probability constraints. The aim is to investigate a stability (considered with respect to a probability measures space) and empirical estimates. To achieve new results the Wasserstein metric determined by ${\cal L}_{1}$ norm and results of multiobjective optimization theory are employed.
Classification : 90C15
Keywords: multistage stochastic programming problem; individual probability constraints; autoregressive sequence; Wasserstein metric; empirical estimates; multiobjective problems 
@article{KYB_2008__44_2_a2,
     author = {Ka\v{n}kov\'a, Vlasta},
     title = {Multistage stochastic programs via autoregressive sequences and individual probability constraints},
     journal = {Kybernetika},
     pages = {151--170},
     publisher = {mathdoc},
     volume = {44},
     number = {2},
     year = {2008},
     mrnumber = {2428217},
     zbl = {1154.90557},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2008__44_2_a2/}
}
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Kaňková, Vlasta. Multistage stochastic programs via autoregressive sequences and individual probability constraints. Kybernetika, Tome 44 (2008) no. 2, pp. 151-170. http://geodesic.mathdoc.fr/item/KYB_2008__44_2_a2/