On stochastic linear programming problems with the quantile criterion

DOI10.1134/S0005117911020123zbMath1242.90147OpenAlexW2129087677MaRDI QIDQ544782

A. V. Naumov, Sergey V. Ivanov

Publication date: 16 June 2011

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

Full work available at URL: https://doi.org/10.1134/s0005117911020123

zbMATH Keywords

continuity conditionsconvexity conditionsguaranteeing solution

Mathematics Subject Classification ID

Linear programming (90C05) Stochastic programming (90C15)

Related Items (8)

Properties of the linear unconditional problem of combinatorial optimization on arrangements under probabilistic uncertainty ⋮ Application of the Smooth Approximation of the Probability Function in Some Applied Stochastic Programming Problems ⋮ Solving linear unconstrained problems of combinatorial optimization on arrangements under stochastic uncertainty ⋮ Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel ⋮ Variable neighborhood search for stochastic linear programming problem with quantile criterion ⋮ Parametric algorithm for finding a guaranteed solution to a quantile optimization problem ⋮ On the problem of probabilistic optimization of time-limited testing ⋮ Algorithm to optimize the quantile criterion for the polyhedral loss function and discrete distribution of random parameters

Cites Work

• Stochastic quasigradient algorithm to minimize the quantile function
• Convexity properties of probability and quantile functions in optimization problems
• Deterministic equivalents for the problems of stochastic programming with probabilistic criteria
• Chance-Constrained Programming
• Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints
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