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Avtomatika i Telemekhanika, 2013, Issue 6, Pages 66–86 (Mi at5160)  
This article is cited in 39 scientific papers (total in 39 papers)

Stochastic Systems, Queuing Systems

On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem

A. I. Kibzuna, A. V. Naumova, V. I. Norkinb

a Moscow Aviation Institute, Moscow, Russia
b Glushkov Institute of Cybernetics, National Academy of Sciences, Kiev, Ukraine
Full-text PDF (278 kB) Citations (39)
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Abstract: We propose an equivalent reduction of the quantile optimization problem with a discrete distribution of random parameters to a partially integer programming problem of large dimension. The number of integer (Boolean) variables in this problem equals the number of possible values for the random parameters vector. The resulting problems can be solved with standard discrete optimization software. We consider applications to quantile optimization of a financial portfolio and show results of numerical experiments.
Presented by the member of Editorial Board: A. V. Nazin

Received: 02.05.2012
English version:
Automation and Remote Control, 2013, Volume 74, Issue 6, Pages 951–967
DOI: https://doi.org/10.1134/S0005117913060064
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. I. Kibzun, A. V. Naumov, V. I. Norkin, “On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem”, Avtomat. i Telemekh., 2013, no. 6, 66–86; Autom. Remote Control, 74:6 (2013), 951–967
Citation in format AMSBIB
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    • This publication is cited in the following 39 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    Full-text PDF :138
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