This article is cited 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. Kibzun^a, 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.

Presented by the member of Editorial Board: A. V. Nazin

Received: 29.11.2013

 English version: Automation and Remote Control, 2014, 75:5, 859–871

Bibliographic databases:

• 
•