A. I. Kibzun, A. I. Chernobrovov, “Stochastic quasigradient algorithm to minimize the function of integral quantile”, Avtomat. i Telemekh., 2012, Issue 2,Pages <nobr>41

This article is cited in 2 papers

Linear and Nonlinear Programming

Stochastic quasigradient algorithm to minimize the function of integral quantile

A. I. Kibzun, A. I. Chernobrovov

Moscow State Aviation Institute, Moscow, Russia

Abstract: Proposed was a stochastic quasigradient algorithm to minimize the integral quantile function (CVaR criterion) with the use of the order statistics. Convergence of the algorithm with the probability one was proved, and an example was considered.

Presented by the member of Editorial Board: A. P. Kurdyukov

Received: 06.06.2011