Linearization method for solving quantile optimization problems with loss function depending on a vector of small random parameters

DOI10.1134/S0005117917070074zbMath1373.93090OpenAlexW2739326794MaRDI QIDQ1675835

Yu. S. Kan, S. N. Vasil'eva

Publication date: 3 November 2017

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

Full work available at URL: https://doi.org/10.1134/s0005117917070074

zbMATH Keywords

linearization methodquantile optimizationkernel of a probability measurevector of small random parameters

Mathematics Subject Classification ID

Linearizations (93B18) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (3)

Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel ⋮ An extension of the quantile optimization problem with a loss function linear in random parameters ⋮ Construction of confidence absorbing sets using statistical methods

Cites Work

• A method for solving quantile optimization problems with a bilinear loss function
• Fundamentals of the linearization method for quantile analysis with small random parameters
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