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Avtomatika i Telemekhanika, 2014, Issue 5, Pages 67–82 (Mi at9094)  
This article is cited in 1 scientific paper (total in 1 paper)

Stochastic Systems, Queuing Systems

On reduction of the two-stage problem of quantile optimization to the problem of convex programming

A. I. Kibzuna, O. M. Khromova

a Moscow State Aviation Institute, Moscow, Russia
Full-text PDF (250 kB) Citations (1)
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Abstract: Consideration was given to the two-stage problem of stochastic programming with a quantile criterion. The case of bilinear loss function which is linear separately in the normally distributed random factors and the strategies was studied. An algorithm was proposed based on solving the parametric problem of convex programming with the scalar parameter selected with the use of the dichotomy method. The solution proved to be guaranteeing for the original problem. An example was discussed.
Presented by the member of Editorial Board: A. V. Nazin

Received: 29.11.2013
English version:
Automation and Remote Control, 2014, Volume 75, Issue 5, Pages 859–871
DOI: https://doi.org/10.1134/S0005117914050051
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. I. Kibzun, O. M. Khromova, “On reduction of the two-stage problem of quantile optimization to the problem of convex programming”, Avtomat. i Telemekh., 2014, no. 5, 67–82; Autom. Remote Control, 75:5 (2014), 859–871
Citation in format AMSBIB
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\paper On reduction of the two-stage problem of quantile optimization to the problem of convex programming
\jour Avtomat. i Telemekh.
\yr 2014
\issue 5
\pages 67--82
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\transl
\jour Autom. Remote Control
\yr 2014
\vol 75
\issue 5
\pages 859--871
\crossref{https://doi.org/10.1134/S0005117914050051}
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  • https://www.mathnet.ru/eng/at/y2014/i5/p67
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    References:54
    First page:38
     
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