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Avtomatika i Telemekhanika, 2012, Issue 1, Pages 116–129
(Mi at3598)
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This article is cited in 16 scientific papers (total in 16 papers)
Stochastic Systems, Queuing Systems
Algorithm to optimize the quantile criterion for the polyhedral loss function and discrete distribution of random parameters
S. V. Ivanov, A. V. Naumov Moscow Aviation Institute, Moscow, Russia
Abstract:
For the vector of random parameters with discrete distribution and finite number of realizations, consideration was given to the problem of stochastic linear programming with a quantile criterion. The sufficient conditions for existence of problem solution were formulated. A method of reduction of the original problem to the mixed linear programming problem of high dimension was proposed. For the resulting problem, a solution algorithm was constructed on the basis of the methods of decomposition of the linear programming problems.
Citation:
S. V. Ivanov, A. V. Naumov, “Algorithm to optimize the quantile criterion for the polyhedral loss function and discrete distribution of random parameters”, Avtomat. i Telemekh., 2012, no. 1, 116–129; Autom. Remote Control, 73:1 (2012), 105–117
Linking options:
https://www.mathnet.ru/eng/at3598 https://www.mathnet.ru/eng/at/y2012/i1/p116
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Statistics & downloads: |
Abstract page: | 574 | Full-text PDF : | 123 | References: | 62 | First page: | 23 |
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