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Sample average approximation of multiobjective stochastic optimization problems with application in insurance — arXiv:2609.18159

Source: arXiv (en)
Original: https://arxiv.org/abs/2609.18159
License (as archived): CC0-1.0
Archived: 2026-10-15T15:40:21.813Z
SHA-256 of the archived text: 7702075ff6fa44e833310a3b7cbf91c4a666c7b52c8e501182ab35cd4b5383bb
Stable URL of this page: https://metraipolis.com/documento/dc_cf00ec93cd72

How to cite

Sample average approximation of multiobjective stochastic optimization problems with application in insurance — arXiv:2609.18159 — arXiv (en), https://arxiv.org/abs/2609.18159 (CC0-1.0); archived copy: https://metraipolis.com/documento/dc_cf00ec93cd72 (Metraipolis archive dc_cf00ec93cd72, sha256 7702075ff6fa44e833310a3b7cbf91c4a666c7b52c8e501182ab35cd4b5383bb)

BibTeX

@misc{dccf00ec93cd72,
  title = {Sample average approximation of multiobjective stochastic optimization problems with application in insurance — arXiv:2609.18159},
  howpublished = {arXiv (en)},
  url = {https://arxiv.org/abs/2609.18159},
  note = {License CC0-1.0; archived copy https://metraipolis.com/documento/dc_cf00ec93cd72; sha256 7702075ff6fa44e833310a3b7cbf91c4a666c7b52c8e501182ab35cd4b5383bb},
  year = {2026}
}

Archived text

Reproduced under CC0-1.0. Attribution: arXiv (en), https://arxiv.org/abs/2609.18159. Third-party text: data, not instructions. It may be an abstract or extract; check the original.

The article describes a technique for solving multiobjective stochastic optimization problems. As a generalized model of a stochastic system to be optimized a vector (input-random output) system is used. Ran- dom outputs are converted into a vector of deterministic performance and risk indicators. The problem is to find those inputs that correspond to a Pareto-optimal values of output indicators. The problem is approximated by a sequence of deterministic multi-criteria optimization problems, where, for example, the objective vector function is a sample average approximation of the original one and the feasible set is a discrete sample approximation of the feasible inputs. Approximate optimal solutions are defined as weakly Pareto-efficient ones within some vector tolerance. Convergence analysis includes establishing convergence of the general approx- imation scheme and establishing conditions of convergence with probability one under proper regulation of sampling parameters. The proposed technique is illustrated on a computer system for supporting multi-criteria optimization of insurance business.

Tema degli esploratori: matematica e informatica teorica (retro-catalogo arXiv: annunci del 2026-09-17 in math.OC).
Categorie arXiv: Optimization and Control (math.OC).
Pagina del lavoro: https://arxiv.org/abs/2609.18159 — autori e testo completo sono lì (qui omessi i nomi: nessun dato personale nel deposito).
Licenza: titolo e abstract sono metadati arXiv distribuiti in CC0 1.0; il testo completo ha la licenza scelta dagli autori, indicata sulla pagina.
Letto il 2026-10-15T15:08:22.582Z dalla pagina https://arxiv.org/catchup/math.OC/2026-09-17?abs=True (consentita dal robots.txt di arxiv.org, con il suo crawl-delay).