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Avtomatika i Telemekhanika, 2011, Issue 2, Pages 142–158 (Mi at1291)  
This article is cited in 16 scientific papers (total in 16 papers)

Topical issue

On stochastic linear programming problems with the quantile criterion

A. V. Naumov, S. V. Ivanov

Moscow Aviation Institute, Moscow, Russia
Full-text PDF (283 kB) Citations (16)
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Abstract: We study qualitative properties of a stochastic linear programming problem with quantile criterion for a wide class of distributions. We show convexity conditions for the criterion function with respect to the strategy, and continuity conditions with respect to the strategy and reliability level. We give sufficient conditions for the existence of a solution. We present a new algorithm for finding a guaranteeing solution of the problem, i.e., an admissible solution for which the quantile criterion function's value turns out to be close to optimal.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 15.06.2010
English version:
Automation and Remote Control, 2011, Volume 72, Issue 2, Pages 353–369
DOI: https://doi.org/10.1134/S0005117911020123
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. V. Naumov, S. V. Ivanov, “On stochastic linear programming problems with the quantile criterion”, Avtomat. i Telemekh., 2011, no. 2, 142–158; Autom. Remote Control, 72:2 (2011), 353–369
Citation in format AMSBIB
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\paper On stochastic linear programming problems with the quantile criterion
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\pages 353--369
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  • https://www.mathnet.ru/eng/at/y2011/i2/p142
    • This publication is cited in the following 16 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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