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Avtomatika i Telemekhanika, 2014, Issue 5, Pages 67–82
(Mi at9094)
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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
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.
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
Linking options:
https://www.mathnet.ru/eng/at9094 https://www.mathnet.ru/eng/at/y2014/i5/p67
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Statistics & downloads: |
Abstract page: | 328 | Full-text PDF : | 52 | References: | 58 | First page: | 38 |
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