Stochastic quasigradient algorithm to minimize the quantile function

DOI10.1134/S0005117910060056zbMath1218.93115MaRDI QIDQ612071

E. L. Matveev, A. I. Kibzun

Publication date: 3 January 2011

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

zbMATH Keywords

order statisticquantile functionstochastic quasigradient algorithm

Mathematics Subject Classification ID

Related Items (4)

Application of the Smooth Approximation of the Probability Function in Some Applied Stochastic Programming Problems ⋮ Algorithm to solve the generalized Markowitz problem ⋮ On stochastic linear programming problems with the quantile criterion ⋮ Stochastic quasigradient algorithm to minimize the function of integral quantile

Cites Work

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• Guaranteeing approach to solving quantile optimization problems
• Convexity properties of probability and quantile functions in optimization problems
• On convergence of a stochastic quasigradient algorithm of quantile optimization
• Order Statistics

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