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Avtomatika i Telemekhanika, 2012, Issue 1, Pages 116–129 (Mi at3598)  
This article is cited in 17 scientific papers (total in 17 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
Full-text PDF (256 kB) Citations (17)
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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.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 29.06.2011
English version:
Automation and Remote Control, 2012, Volume 73, Issue 1, Pages 105–117
DOI: https://doi.org/10.1134/S0005117912010080
Bibliographic databases:
Document Type: Article
Language: Russian
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
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/at/y2012/i1/p116
    • This publication is cited in the following 17 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    Full-text PDF :133
    References:74
    First page:23
     
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