Sample average approximation in a two-stage stochastic linear program with quantile criterion

DOI10.1134/S0081543818090122zbMath1415.90069OpenAlexW2921990525MaRDI QIDQ2424185

A. I. Kibzun, Sergey V. Ivanov

Publication date: 24 June 2019

Published in: Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0081543818090122

zbMATH Keywords

stochastic programmingmixed integer linear programmingsample average approximationquantile criterion

Mathematics Subject Classification ID

Mixed integer programming (90C11) Linear programming (90C05) Stochastic programming (90C15)

Related Items (2)

Two-Stage Stochastic Facility Location Model with Quantile Criterion and Choosing Reliability Level ⋮ General properties of two-stage stochastic programming problems with probabilistic criteria

Cites Work

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• Sample average approximation method for chance constrained programming: Theory and applications
• A two-stage quantile linear programming problem
• Reducing two-stage probabilistic optimization problems with discrete distribution of random data to mixed-integer programming problems
• Convergence of Discrete Approximations of Stochastic Programming Problems with Probabilistic Criteria
• Lectures on Stochastic Programming
• Variational Analysis

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