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Avtomatika i Telemekhanika, 2004, Issue 2, Pages 33–42 (Mi at1516)  
Optimization of Finite-Dimensional Systems

Convex properties of the quantile function in stochastic programming

A. I. Kibzun, E. A. Kuznetsov

Moscow Aviation Institute (State University of Aerospace Technologies)
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Abstract: Consideration was given to the problem of stochastic programming with the quantile (VaR) criterion. Conditions related with the characteristics of probabilistic distributions under which the quantile function is convex in strategy were presented. Relationship between convexity of the quantile function and convexity of the function of integral (CVaR) quantile criterion was shown.
Presented by the member of Editorial Board: B. T. Polyak

Received: 27.06.2003
English version:
Automation and Remote Control, 2004, Volume 65, Issue 2, Pages 184–192
DOI: https://doi.org/10.1023/B:AURC.0000014715.56013.7f
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. I. Kibzun, E. A. Kuznetsov, “Convex properties of the quantile function in stochastic programming”, Avtomat. i Telemekh., 2004, no. 2, 33–42; Autom. Remote Control, 65:2 (2004), 184–192
Citation in format AMSBIB
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