Comparison of two algorithms for solving a two‐stage bilinear stochastic programming problem with quantile criterion

DOI10.1002/asmb.2115zbMath1406.90085OpenAlexW2022128734MaRDI QIDQ4620134

A. I. Kibzun

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2115

zbMATH Keywords

stochastic programmingconvex programmingquantile functionmixed integer linear programming problemconfidence methodtwo-stage problemvalue-at-risk criterion

Mathematics Subject Classification ID

Convex programming (90C25) Mixed integer programming (90C11) Linear programming (90C05) Stochastic programming (90C15)

Related Items (4)

On the convergence of sample approximations for stochastic programming problems with probabilistic criteria ⋮ Reduction of the bilevel stochastic optimization problem with quantile objective function to a mixed‐integer problem ⋮ Variable neighborhood search for a two-stage stochastic programming problem with a quantile criterion ⋮ General properties of two-stage stochastic programming problems with probabilistic criteria

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