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Avtomatika i Telemekhanika, 2018, Issue 2, Pages 36–50 (Mi at15015)  
This article is cited in 2 scientific papers (total in 2 papers)

The decomposition method for two-stage stochastic linear programming problems with quantile criterion

I. D. Zhenevskaya, A. V. Naumov

Moscow Aviation Institute (National State University), Moscow, Russia
Full-text PDF (658 kB) Citations (2)
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Abstract: We consider the two-stage stochastic linear programming problem with quantile criterion in case when the vector of random parameters has a discrete distribution with a finite number of realizations. Based on the confidence method and duality theorems, we construct a decompositional algorithm for finding guaranteeing solutions.
Keywords: stochastic programming, two-stage problems, linear programming, quantile criterion, decompositional algorithms.
Funding agency Grant number
Russian Science Foundation 16-11-00062
Russian Foundation for Basic Research 17-07-00203a
Results of Sections 2 and 4 were supported by the Russian Scientific Foundation, project no. 16-11-00062, and results of Section 3 and Theorem 2 were supported by the Russian Foundation for Basic Research, project no. 17-07-00203a.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 21.03.2017
English version:
Automation and Remote Control, 2018, Volume 79, Issue 2, Pages 229–240
DOI: https://doi.org/10.1134/S0005117918020030
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: I. D. Zhenevskaya, A. V. Naumov, “The decomposition method for two-stage stochastic linear programming problems with quantile criterion”, Avtomat. i Telemekh., 2018, no. 2, 36–50; Autom. Remote Control, 79:2 (2018), 229–240
Citation in format AMSBIB
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    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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