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Avtomatika i Telemekhanika, 2004, Issue 2, Pages 33–42
(Mi at1516)
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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)
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.
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
Linking options:
https://www.mathnet.ru/eng/at1516 https://www.mathnet.ru/eng/at/y2004/i2/p33
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Statistics & downloads: |
Abstract page: | 250 | Full-text PDF : | 90 | References: | 44 | First page: | 2 |
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