Fundamentals of the linearization method for quantile analysis with small random parameters

DOI10.1134/S0005117908080067zbMath1156.93325MaRDI QIDQ1003008

A. V. Sysuev, Yu. S. Kan

Publication date: 26 February 2009

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

linear approximationuncertain parametersprobabilistic criteria

Mathematics Subject Classification ID

Control/observation systems with incomplete information (93C41) Linearizations (93B18) Stochastic systems in control theory (general) (93E03)

Related Items (3)

Linearization method for solving quantile optimization problems with loss function depending on a vector of small random parameters ⋮ On approximate solution of the problem of formation of the fixed-income portfolio of securities ⋮ On approximate computation of the quantile criterion

Cites Work

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• Comparison of the quantile and guaranteeing approaches to system analysis
• Bilinear loss function: quantile minimization of its normal distribution
• Minimax optimization of investment portfolio by quantile criterion

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